Preheat the oven to 375°F (190°C). Line a baking sheet with parchment paper.
Prepare the dough by unrolling it onto a cutting board. Separate it into 8 triangles, then cut each into three smaller triangles, making 24 pieces.
Wrap the sausages by placing one at the widest end of a dough triangle and rolling it tightly toward the pointed tip. Repeat with all pieces.
Arrange on a baking sheet, making sure the seam side is facing down. Brush each wrapped sausage with whisked egg and sprinkle with everything bagel seasoning if using.
Bake for 12 to 14 minutes, or until golden brown. Serve warm with mustard, ketchup, or barbecue sauce.