Preheat oven to 400 degrees and prepare a baking sheet by lining it with parchment paper (or you can spray with non-stick spray).
In a small bowl, beat egg and add the tablespoon of water to make an egg wash. Set aside.
Roll the pastry dough out so that it measures about 10 X 10-inches square. Using a sharp knife, or a pizza cutter, cut the sheet into 12 squares that measures about 2 1/2 X 2 1/2-inches.
Brush a small amount of egg wash on one end of a dough square, and place a cooked sausage link at the opposite edge of the square.
Holding the dough close to the sausage link, roll down to the egg wash and press tightly to seal.
Place on prepared baking sheet and brush the top with a little bit of the egg wash.
Bake for 15 minutes, until golden brown. Remove from oven and place on platter, serving along side the white gravy for dipping.
While the sausages are baking, prepare the white gravy: If you have drippings left from the frying the sausages, use that along with enough butter to equal 3 tablespoons. Otherwise, just use the 3 tablespoons of butter.
Melt the butter in a small pot over medium heat on the stove top. Once the butter is melted, add the flour and whisk, it will be thick, this is okay.
Slowly add the milk while continuing to whisk to avoid lumps. Whisk until smooth and no lumps.
The gravy will thicken as it’s cooking. If it’s too thick, thin with a little more milk to your desired consistency.
Season with salt and pepper to your tastes.
Pour into a serving bowl and serve with sausages biscuit dippers.