Cut the cheese into 36 small square pieces and set aside.
Cut the pizza dough into 36 evenly sized pieces.
Flatten the dough pieces of dough and place a piece of the cheese and a sausage in each one and wrap the dough around them pinch to seal the dough tightly.
Preheat the oven to 450 degrees F and line a large baking sheet with parchment paper and set aside. Fill a large pot with the 10 cups of water, add in the baking soda and bring to a simmer.
Work in batches and drop the dough wrapped sausages into the water 6 at a time and cook for 20 to 25 seconds. Use a slotted spoon to remove the pigs in a blanket from the water and transfer to a paper towel-lined plate. Repeat until all of them have been done.
Transfer the pigs in a blanket to the prepared baking sheet and use a paring knife to make a shallow cut across the center of each one, DO NOT cut all the way through.
In a small bowl, gently beat together the egg and tablespoon of water, then brush each pig in a blanket with the egg wash and sprinkle with coarse salt.
Bake for 10 to 12 minutes until the pigs in a blanket are golden brown. Enjoy with Maple Mustard Sauce or dipping sauce of your choice.