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1
For the pigs in blankets: Combine 1/3 cup warm water (110 to 115 degrees F) and the brown sugar in a medium bowl.
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2
Sprinkle the yeast over the water, and let stand until foamy, about 10 minutes.
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3
Whisk together the flour, cornmeal, Cajun seasoning and 1/2 teaspoon kosher salt in a small bowl.
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4
Add the flour mixture and the butter to the yeast, and mix with a fork until a dough forms.
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5
Turn the dough out onto a flour-dusted surface, and knead by hand until smooth, about 5 minutes, using more flour as needed.
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6
Coat the inside of a medium bowl with cooking spray; add the dough to the bowl, and cover.
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7
Let the dough rise in a warm spot until doubled in size, 1 to 1 1/2 hours.
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8
Preheat the oven to 400 degrees F. Coat a baking sheet with cooking spray.
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9
Make a slit down the length of each andouille link, cutting about halfway through, and stuff each with 1 tablespoon shredded cheese.
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10
Turn the dough out onto a lightly floured surface.
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11
Roll into an 8-by-18-inch rectangle, about 1/8 inch thick.
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12
Cut lengthwise into 8 strips.
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13
Discard the 2 outer strips with the most uneven edges.
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14
Wrap a strip of dough around an andouille link, coiling the strip from 1 end of the link to the other, leaving a 1/4-inch space between dough turns and leaving the ends of the sausage slightly exposed.
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15
Set on the prepared baking sheet, and repeat with the remaining dough and andouille.
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16
Brush the tops and sides with the beaten egg.
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17
Bake until golden brown, 18 to 22 minutes.
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18
For the remoulade sauce: Meanwhile, stir together the mayonnaise, cornichons, mustard, ketchup, scallions and hot sauce in a small bowl.
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19
Refrigerate until ready to serve.
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20
To serve: Cut each pig in a blanket into 4 pieces with a serrated knife.
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21
Serve with the remoulade sauce on the side.
