In a small bowl whisk egg and apple sauce together. With the food processor running, add egg mixture and process until the dough just comes together.
Roll out your dough immediately: Place dough on a large piece of plastic wrap and top with another piece of plastic wrap. Roll out to a thickness of 1/16" and using a cookie cutter stamp out circles about the same length as your cocktail hot dogs. If dough is getting too warm at any
Wrap the stamped out circle around the dried off hot dog and pinch together until it has sealed. Place on baking sheet. Continue working until all of the hot dogs are wrapped.
Bake for 12 minutes. Take out of the oven and turn the Pigs in a Blanket over and continue to bake for another 5 minutes.
Remove and serve warm or room temperature along side some grainy mustard.
Apple sauce contributes a very minor sweetness to the dough that is needed because of the oat flour, and it also contributes to the texture. You won't notice there is apple sauce in here necessarily, but the apple sauce is needed for improved taste and texture.
See post for trouble shooting if you run in to issues with the dough.
We tested this with homemade oat flour made in a high-speed blender and do not recommend using this. We had much better results using store-bought (gluten-free) oat flour.
If you find that your pastry is on the wetter side, add in a bit more oat flour until it feels workable. Oat flour can be a bit tricky to measure out because sometimes it is densely packed in the container, and sometimes not. For a foolproof way to measure weigh it out instead of using a cup measurement.