In a large skillet over medium-low heat, cook the pancetta until cooked through but not too crispy, 5 to 6 minutes. Transfer to a plate lined with paper towel.
Preheat the oven to 375 degrees F. Line a sheet tray with parchment paper.
Separate the dough into individual triangles. Cut each triangle lengthwise into 3 narrow triangles. Place a mini hot dog on the wide base end of a triangle. Starting at the base end of the triangle, roll up toward the pointed end, to wrap the hot dog. Place on the prepared sheet tray. Repeat with the remaining dough and mini hot dogs.
In a small bowl, beat together the egg and Pecorino Romano cheese. Using a pastry brush, brush the pigs in a blanket with the egg mixture. Sprinkle with the diced pancetta.
Bake until golden brown, 12 to 15 minutes. Arrange on a platter and serve with the Alfredo sauce for dipping.
You can substitute 2 dozen store-bought frozen pigs in a blanket for the crescent dough and mini hot dogs. Put them on the prepared sheet tray, brush with the egg mixture, sprinkle with the pancetta and cook according to the package instructions.