There are many different ways to make Pigs in A Blanket. Some people use puff pastry, others use those crescent rolls in a can in the refrigerated section of the supermarket and other make their own puff pastry. And to make things even more confusing, Pigs in a Blanket are not the same in all countries. For the meat you can use hot dogs, cocktail franks, Vienna Sausages, small sausages (1/2-inch (1.25 cm) diameter max,).