Preheat oven to 400. Line 2 baking sheets with parchment. Working with 1 pastry sheet at a time, cut the pastry crosswise into quarters, then halve lengthwise to form 8 rectangular pieces. Cut each piece diagonally to form 16 triangles. Repeat with remaining sheet of pastry.
Working with triangle at a time (refrigerating remaining pastry as needed), arrange a piece of sausage across the base of the triangle and roll up snugly, sealing with egg. Transfer to prepared pans. Brush triangles with beaten egg and bake till puffed and golden, about 30 minute.
Meanwhile, using a food processor, blend the parsley, cilantro, garlic, oil, vinegar, crushed red pepper and 2 T water til almost smooth. Season with salt and pepper. Serve pigs in blankets with dip.