Preheat the oven to 375 degrees F. Line a sheet tray with parchment paper.
In a small bowl, beat the egg, then mix in the Pecorino Romano cheese and black pepper. Set aside.
Separate the dough into individual triangles. Cut each triangle lengthwise into 3 narrow triangles. Using a pastry brush, brush each triangle with a light layer of the egg mixture. Place a sausage piece on the wide base end of a triangle. Starting at base end of the triangle, roll up toward the pointed end to wrap the sausage. Place on the prepared sheet tray. Repeat with remaining dough and sausage pieces.
Brush the pigs in a blanket with the remaining egg mixture. Bake until golden brown, 12 to 15 minutes. Arrange on a platter and serve with the pesto for dipping.