First make the pastry. Place the flour, butter, egg and Maille(R) Dijon Originale mustard into a processor and mix until a ball begins to form around the blade. Remove from the processor bowl and lightly shape into a ball. Wrap in cling and chill in the refrigerator for 30 minutes.
Meanwhile, heat the oil in a pan and fry cocktail sausages all over until brown. Remove from pan and cool. Wrap each sausage in a strip of ham.
Roll out the chilled pastry on a lightly floured board. Cut into rectangles large enough to enclose a wrapped sausage. Wrap the sausages in pastry and seal with beaten egg. Make slash marks along the top of each sausage roll and then brush with the beaten egg.
Bake in a pre-heated oven at 375 degrees F for around 15 minutes, or until the pastry is golden brown.