Preheat oven to 400* F. Line two baking sheets with parchment paper. In a small bowl, whisk the egg with 1 Tablespoon of water. Set aside.
Sprinkle half of the flour on a pastry board. Lay one sheet of puff pastry on the board, and roll until smooth. Using a pizza cutter, cut the puff pastry into 7 even strips. Then, with the long end facing you, cut the pastry into four even strips. Repeat with the other sheet of puff pastry, so you have 56 strips total. This should be more than enough pastry for the mini sausages.
Roll each mini sausage in one strip of puff pastry, making sure to seal it well. You may have to stretch the pastry over the sausage a bit - just be careful not to tear it! Place the rolled sausages on the sheet pans about 1-2 inches apart. Brush each sausage with the egg wash, and sprinkle with a pinch of both everything bagel seasoning and parmesan. Bake for 15-20 minutes, until the puff pastry is golden brown.
While the pigs in a blanket are baking, prepare the sauces. In one small bowl, whisk together the ketchup and harissa. Add more harissa if you want spicier ketchup. In another small bowl, whisk together the mustard, honey, and bourbon. Add more honey for a sweeter sauce. Serve the warm pigs in a blanket with the dipping sauces!
*Note: To make these in advance, store the rolled sausages in an airtight container in the fridge or freezer. Before baking, brush each sausage with egg wash, and sprinkle with both the everything bagel seasoning and parmesan. Bake as normal. If you store them in the freezer, they may take an additional 5-10 minutes to bake. The sauces can be stored in the fridge for up to three days.