Preheat oven to 375°F (190°C) and prepare a baking sheet by lining with parchment paper or lightly greasing it.
Cut the cooked smoked sausage into 1-inch pieces and set aside.
Unroll the refrigerated pizza dough onto a lightly floured surface. If cold, let it sit for 10-15 minutes to become pliable. Roll gently to flatten slightly.
Cut the dough into approximately 1-inch wide strips, enough for 24-30 pieces.
In a mixing bowl, combine very softened cream cheese and shredded cheddar cheese until smooth.
Add finely chopped pickled jalapenos to the cheese mixture and stir evenly. Taste and adjust if needed.
Spread a thin layer of the jalapeno cream cheese filling down the center of each dough strip.
Place one piece of sausage at one end of each dough strip on top of the filling.
Carefully wrap the dough around the sausage, overlapping the edges slightly. Pinch the seam firmly and gently roll the wrapped sausage on the seam to seal tightly.
Place the wrapped pieces seam-side down on the prepared baking sheet.
If desired, brush the tops with milk or beaten egg for a golden crust and sprinkle with everything bagel seasoning.
Bake for 15-20 minutes until golden brown and dough is cooked through. Baking times may vary by oven, so check for doneness a few minutes early.
Insert a toothpick into one piece to ensure it comes out clean, indicating doneness. Bake a few more minutes if needed.
Remove from oven and cool on the baking sheet for a few minutes before serving.
Serve warm with dipping sauces such as ranch dressing, sour cream, or spicy mayo.