Preheat your oven to 400 degrees F and line your baking sheet with parchment paper or a silicone mat. Set aside.
Add 5 cups of water to a medium saucepan, then sprinkle in the baking soda and stir to dissolve. Bring to a boil.
Unroll your sheet of crescent dough, then cut the dough lengthwise into 6 strips. Cut each strip crosswise into 5 sections to end up with 30 even pieces.
Working one by one, roll each cocktail frank in a piece of crescent dough, then place on your prepared baking sheet, seam-side down.
Once the baking soda water has come to a boil, drop the wrapped cocktail franks into the boiling water for 10 seconds. I recommend working in batches of 5 at a time here.
Remove from the water with a slotted spoon or spatula to remove any excess water, then return the boiled pigs in a blanket to the prepared baking sheet.
Whisk one egg in a small bowl, then brush onto the surface of each pig in a blanket. Sprinkle with coarse pretzel salt, and bake for 15 minutes, or until golden brown.
Enjoy as is, or alongside cheese sauce, ketchup, and/or mustard for dipping!