Unfold 1 pastry sheet on a lightly flowered work surface. Pierce with a fork and cut into 4 strips (each about 2.5" wide), then cut crosswise into 4 squares per strip for a total of 16 squares. Spread 1/4 tsp mustard in center of each square. Place one sausage round on top, press slightly to anchor. Fold 2 opposite corners over sausage, overlapping slightly, and press to seal. Place these sealed sided down on an ungreased baking sheet. Repeat with remaining sheet of pastry and sausage rounds.
Wisk egg and milk in a small bowl. Turn pastries right side up and brush with glaze. Bake for 10 minute Reduce oven to 375°F and continue baking until pastry is puffed and golden (about 10-12 more min). Serve warm!