Preheat the oven to 375 degrees Fahrenheit and line a baking sheet with parchment paper.
Roll out the crescent roll dough and press seams together; leaving the middle seam is optional.
Cut three lines into the dough dividing it into four equal parts, then cut triangles within each part to get about 7-8 triangles per section.
Place a cocktail weenie on the larger end of each triangle and roll it up.
Arrange the wrapped weenies on the prepared baking sheet, leaving space between each.
Brush the tops with melted butter.
Bake for 15 minutes or until golden brown.
While baking, whisk together Dijon mustard, mayonnaise, honey, cayenne pepper, and salt in a bowl to make the honey mustard sauce.
Let the pigs in a blanket cool slightly before serving with the honey mustard sauce.