Preheat the oven to 375°F. Line a baking sheet with parchment paper and lightly coat it with nonstick cooking spray.
Unroll the crescent dough onto a cutting board. If using perforated crescent rolls, gently press the seams together to form one solid sheet. Use a pizza cutter or sharp knife to cut the dough into strips about ¼ inch wide.
Cut each thick slice of cheese into four narrow strips, giving you eight pieces. Place one strip of cheese alongside each hot dog. You can skip the cheese if you prefer a simpler version.
Wrap each hot dog and cheese strip with three or four crescent dough strips, stretching the dough slightly as needed. Crisscross the strips irregularly to resemble mummy bandages, leaving a small gap near one end for the face.
Place the wrapped hot dogs on the prepared baking sheet, leaving about an inch between each one. Tuck the loose ends of the dough underneath so the bandages stay in place during baking.
Bake for 12–14 minutes, or until the crescent dough is puffed and golden brown and the hot dogs are heated through. Let them cool for about 5 minutes before decorating.
Use a toothpick to dab two tiny dots of mustard onto the exposed hot dog area to create eyes. Serve warm with ketchup, mustard, or your favorite dipping sauce.