Preheat the oven to 375 degrees F. Line 2 baking sheets with parchment paper.
Cut the ham slices into strips about 1 1/2 inches by 4 inches. Cut the cheese slices into strips about 1 1/2 inches by 3 inches.
Separate the dough into triangles, then slice each triangle in half lengthwise so you have 32 triangles. Place a slice of ham onto each triangle. Brush the ham with a little mustard. Place a slice of cheese on each ham slice, then a cocktail frank and finally a sliced gherkin. Roll up each starting at the wide end of the triangle and rolling towards the small tapered end. Place on a lined baking sheet with the small tapered end on the bottom.
Bake until golden brown, 12 to 15 minutes. Let rest for a few minutes before serving. Serve with mustard for dipping.