Preheat oven to 400 degrees F. Lay egg roll wrappers on a clean work surface. In a small bowl, stir chicken and hot sauce until well coated, using more or less sauce depending on your spice preference. The meat should be moist with sauce.
Begin by placing one tablespoon of the cole slaw on the diagonal of the bottom right corner of one of the wrappers. Next, place 2 tablespoons of shredded spicy chicken evenly on top of the slaw. Spoon 1 tablespoon of the blue cheese crumbles over the chicken. Do not overfill.
To fold: Fold the bottom right corner over the stuffing mixture so that it covers it completely, with the tip of the corner now pointing to the center of the egg roll wrapper. Fold in the bottom left corner, followed by the right, so that you now have formed an envelope. Roll the wrap upward one time, leaving the top left corner open. Wet your index finger in the small bowl of water and press to moisten the top left corner. Now fold that down on top of the filled roll, sealing it like you would an envelope.
Repeat with remaining rolls.
Place the rolls on a wire rack set on top of a cookie sheet (or just on a greased cookie sheet) coated with nonstick cooking spray. Spritz each roll evenly with nonstick cooking spray. Bake for 12-15 minutes, or until the rolls crisp and turn a light golden brown.