Preheat the oven to 400°F. Line two baking sheets with parchment paper. Set aside.
Cut the tops off of the jalapeño peppers and then each pepper in half. Use a spoon to scoop out the seeds and membranes and discard them. Place a cocktail wiener on each scooped out pepper half and cut the pepper to be the same size as the cocktail wiener. Set aside.
In a medium-sized bowl, mix together the cream cheese and cheddar cheese until well-combined. One at a time, remove the cocktail wiener from each pepper segement and fill each jalapeño pepper segment with the cheese mixture. Then, top each cheese-filled jalapeño pepper segment again with the cocktail wieners. Set aside.
In a small bowl, whisk the egg.
On a lightly floured surface, unroll 1 puff pastry dough sheet. Cut it into 6 equal strips, and then cut those strips in half, cross-ways, to create 12 equal-sized pieces. Roll each stuffed pepper piece in 1 puff pastry strip, then seal with the egg wash. Place the wrapped jalapeño pieces on the prepared baking sheets. Repeat until all no jalapeño pieces or puff pastry remains.
Brush the puff pastry tops with the remaining egg and sprinkle lightly with pretzel salt. Bake until browned, about 25 to 30 minutes.
Some of the cheese filling will have spilled out, but don’t worry. Allow the Jalapeño Popper Pigs in a Blanket to cool slightly and use a knife to gently scrape away the cheese that’s oozed out onto the baking sheet. There will still be plenty of cheese left inside.