Process dry ingredients in food processor until combined. Add shortening and process until mixture resembles course meal.
In microwave safe bowl melt mozzarella and cream cheese in 30 second intervals, stirring after each interval, until combined.
Add melted cheese mixture to food processor with dry ingredients and process until it comes together.
Turn dough out onto parchment paper and form into 4 equal balls. Press one dough ball at a time out onto parchment so that the height matches the length of your hotdogs, and width allows you to make 3 or 4 rolled hot dogs at a time.
Roll one at a time slicing dough at the edge where it meets (so the dough wraps around the hot dog, but doesn't overlap. You will press the seam together and gently squeeze so it is pressed onto the hotdog.
Here are wrapped hotdogs before cutting.
Cut rolled hotdogs into approximately 1-inch pieces.
Place cut piggies onto baking sheet that will fit in freezer to freeze and bake later, or place on cookie sheet to bake immediately. Bake times will differ depending on whether they are frozen or not.
Preheat oven to 425° F. Bake about 20 minutes unfrozen and 25-30 frozen.
Serving Size 1 piece