Preheat the oven to 400°F (200°C) and line a baking tray with parchment paper.
Roll out the puff pastry and cut it into thin strips using a knife or pizza cutter.
Wrap the pastry strips around each corn dog, leaving a small gap near the top for the mummy's face.
Arrange the wrapped corn dogs on the prepared baking tray.
In a small bowl, whisk together the egg and water to create an egg wash.
Brush the egg wash over the pastry-wrapped corn dogs.
Bake for 12 to 15 minutes, or until the pastry is puffed and golden brown.
Remove from the oven and allow to cool slightly.
Attach candy eyes using a small dab of mustard, ketchup, cream cheese, or icing.
Serve warm with your favourite dipping sauces.