Preheat the oven to 350°F.
Boil water and cook the hot dogs for about five minutes. Strain the hotdogs and allow them to cool then slice in half from the center and slice again to cut into cubes.
In a small bowl, mix together the mozzarella cheese, sliced cooked hot dogs, finally, chopped parsley, and olive oil.
After you defrost a puff pastry sheet. Lay flat on a floured, clean surface and gently/subtly roll out with a rolling pin, up and down and from left and right.
Cut the puff pastry vertically into three equal parts. Now you have at three long puff pastry strips.
Cut each strip in half so that you now have six total puff pastry cuts.
With a rolling pin, expand the puff pastry, cut if needed, rolling them out, up-and-down and from left and right.
On a prepared baking sheet with parchment paper lay 3 of the puff pastry cuts. Fill each sheet with about 3-4 tablespoons of the cheese and hot dog mixture, leaving room around the edges.
Evenly cover the filled puff pastry with the 3 remaining puff pastry sheets then press down around all the surrounding edges with a fork.
Mix one egg and brush each puff pastry pocket evenly. Bake for 20 minutes or until golden brown. Enjoy warm.