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1. Preheat oven to 400 degrees. Line a baking sheet with parchment paper.
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2. Roll puff pastry out to smooth out the folds. You do not need to make it thinner. Cut into strips and then cut each strip into thirds.
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3. Spoon a small amount of chili onto each piece of puff pastry. Top with a sprinkle of cheese. Then, place a mini hot dog on top and fold the sides around the top. Place onto prepared baking sheet. Repeat for each mini hot dog.
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4. In a small bowl, whisk together egg and water. Brush on top of each piece of puff pastry.
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5. Bake in preheated oven for 10-15 minutes or golden browned. Remove from oven and enjoy.