Preheat the fryer. Bring a pot of salted water to a boil. Poach the boudan for 4 minutes and drain. Cool the boudin completely. In a large saute pan, heat the olive oil. When the oil is hot, sear the boudan for 2 minutes on each side. Remove from the pan and cool.
Lightly flour a surface. Roll out each piece to a 1/4-inch thick. Spread 1 tablespoon of the marmalade in the center of each piece of dough. Place a link of boudin on one third of the dough. Carefully roll the dough and sausage up together, like rolling up a rug. Make sure the sausage is covered completely. Tuck the ends of the dough in and place the dough on a parchment-lined baking sheet, seam side down. Cover the dough with plastic wrap and place in a warm, draft-free area. Let the dough rise until double in size, about 30 to 45 minutes. Gently lay the covered sausages in the hot oil and fry until golden brown, about 3 to 5 minutes, stirring constantly for overall browning. Remove the pigs in the blanket from the oil and drain on a paper-lined plate. Season with Essence. Serve the pigs in the blanket with Creole mustard.