Preheat the oven to 375 degrees.
Roll the sheet of puff pastry to an 11 inch square. Using a pizza wheel or sharp knife, cut the dough into 1/2 inch strips. Line a baking sheet with parchment paper. Wrap each baton of mortadella in one strip of puff pastry, overlapping the dough slightly with each wrap around creating a spiral appearance with the dough while leaving the ends exposed. Place the rolls on prepared baking sheet leaving an inch between each one. Brush each roll with the egg and top with a good pinch of grated cheese. Place in preheated oven and bake for 25minutes or until golden brown and puffed. Serve warm, with mustard if desired.