Preheat the oven to 375 degrees F and line 2 baking sheets with parchment paper. Set aside.
Mix the mustard powder, salt and cayenne pepper together in a bowl.
Dust the counter with 1/4 cup cheese. Unfold 1 sheet of the puff pastry on the cheese. (If the pastry isn't quite thawed, don't force it. Let it sit until thawed.)
Sprinkle 1 1/2 teaspoons spice mix over the puff pastry, followed by 1/4 cup cheese.
Using a rolling pin, roll the pastry out to 1/8 inch thick. This presses the cheese into the pastry and also smooths out any seams or wrinkles. Fold the sheet of pastry in half.
Top with another 1 1/2 teaspoons of the spice mix and 1/4 cup cheese. Roll out again to 1/8 inch thick.
Using a knife and cutting straight down (do not saw), cut the pastry into long strips, making half the strips 1/4 inch wide and half about 1/2 inch wide.
Brush a hot dog piece with mustard and wrap with pastry strips, alternating between long and short strips of pastry for a mummy look. Place on a lined baking sheet. Continue with the hot dog pieces until the pastry strips are finished.
Refrigerate at least 10 minutes and up to 1 hour. This helps firm up the mummies/straws and give them better puff in the oven. Meanwhile, prepare the rest of the mummies using the second sheet of puff pastry and the remaining cheese and hot dog pieces.