Who knew you could make pretzels out of pizza dough? This Pigs In A Pretzel Blanket recipe by Tasty is just so good. It's a fun snack and I'm sure your family and friends are going to love it! You need 1 package of Cocktail Franks or mini hot dogs, 1 ball pizza dough, 5 cups water, 1/4 cup baking soda, 1 egg (beaten), and sea salt.