For the pigs-in-a-blanket: Preheat the oven to 400 degrees F. Line a baking sheet with parchment paper.
Unwrap the puff pastry and cut it lengthwise into thirds, along the perforation. Cut each third crosswise into 10 strips.
Wrap each piece of sausage with a strip of puff pastry, brushing the edge with water and then pressing gently to seal. Place seam-side down on the prepared baking sheet.
Bake until the pastry is puffed and golden, 20 minutes.
For the dipping sauce: Stir together the mayonnaise, mustard and honey in small bowl.
Serve the pigs-in-a-blanket with skewers and the dipping sauce on the side.