Thaw the puff pastry squares according to package instructions. Cut the pastry squares into equal rectangles.
Spread a small amount of mustard on top ⅓ of each pastry rectangle. Lay one half of a hot dog on the mustard and sprinkle with herb of choice. Brush the other end of the rectangle with a little of the beaten egg and roll the sausage up in the pastry, sealing the ends. Put the sausage rolls in the refrigerator for 15-20 minutes for the pastry to chill.
Remove from the refrigerator and prick the tops with a fork, brush with the rest of the beaten egg, sprinkle with kosher salt, sesame seeds and thyme and bake in the oven for 25 to 30 minutes, or until pastry is golden brown or looks crisp. Remove from the oven and serve warm or at room temperature with more mustard.