Take one of the pieces of dough and roll in between your hands (like you are making a snake) until you have a piece that is about 6-8" long.
Put a piece of cheese with a piece of hot dog together and wrap the dough around it in a twist pattern.
Pinch the ends together so they don't come loose.
Place on a baking sheet and bake at 400 degrees for 10-14 minutes or until the tops are lightly browned. While the Twisty pigs in a blanket are cooking, you will make the dipping sauce.
To make the dipping sauce you will mix the mayo, ketchup and mustard together and stir (whisk) until blended.
Put a couple of spoonfuls into the jar (cup or bowl) and then put the cooked Twisty Pigs in a Blank "head first". This is a great way to serve them, especially to kids.