Heat your oven to 400°F (200°C) and line a baking sheet with parchment paper.
Cut your hot dogs in half. Then slice the puff pastry into 12 equal squares, one for each hot dog piece.
Stand a hot dog piece up in the middle of a pastry square. Gather the pastry up and around it so it looks like a little ghost with a floaty bottom.
Cut two small holes for the eyes and one bigger hole for the mouth.
Set the ghosts on your baking sheet, leaving a little space between them.
Whisk the egg with the water or milk. Brush it lightly over the pastry.
Bake for 15 to 18 minutes, until the pastry is puffed up and golden.
Serve warm with ketchup on the side.