British Pigs In A Blanket Are Quite Different From The American Variety - Tasting Table
Briefly

In the United Kingdom, particularly around Christmas time, pigs in blankets refer to sausages wrapped in streaky bacon, serving as a traditional side dish.
The pigs in a blanket known and loved in the U.S. today descends from 19th century British sausage rolls, which were documented in early cookbooks.
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