Preheat your oven to 425°F. Line a baking sheet with parchment paper.
In a large microwave-safe bowl, microwave the mozzarella cheese in 30-second intervals until it becomes very melted and stretchy.
Add the almond flour and baking powder to the bowl. Mix with a wooden spoon until the ingredients are completely combined.
Add the egg and incorporate it completely into mixture. Wet your hands slightly, then knead the dough until it's a uniform color with no obvious white or yellow splotches.
Transfer the dough to a piece of parchment paper and knead it into a ball. The more you knead the dough, the easier it will be to roll out.
Cut the dough ball into 6 equal pieces. Roll each piece out into a flat square, about 1/4-inch thick. Wrap each flat square around 1 hot dog, and place the wrapped hot dogs on your prepared baking sheet.
Dab a little water on top of the wrapped dogs, then sprinkle them with seasoning.
Bake until golden brown, about 10-15 minutes.
Remove your pigs in a blanket from the oven. Let them rest on the baking sheet for 2-3 minutes, then move them to a wire rack so the bottoms remain crisp.
Sprinkle with additional seasoning while they're hot, if you like. Serve warm.