Heat the oven first to 400 °. Place 1 pastry sheet on a mild working surface; Roll into 1 (8-x 12 inches) rectangular. Cut the cake into 24 (2 inches) squares. Place 1 slice of sausage in the middle of each box, press down. Repeat with the rest of pastry and sausage sheets.
Arrange puffs on aluminum foil-lined baking sheets, and brush with egg. Bake 18 to 20 minutes or until pastry is puffed and golden.
Meanwhile, stir together mustard and sour cream in a small bowl. Serve pastries warm, with dipping sauce.