Preheat oven to 350 degrees. Collect all the ingredients and a 13 x 9 baking pan.
Mix together the mayonnaise and mustard and set aside. Place a large piece of parchment or wax paper on the counter.
Open one container of dough and unroll it onto the parchment paper, then use a rolling pin to roll it out to about 14x10 inches with the long edge facing you. (You don’t have to be precise)
Spread half the mayonnaise mixture over the dough.
Layer half the ham over the dough.
Sprinkle half the cheese over the entire thing.
Make sure the long edge is facing you and then, using your parchment paper, fold the bottom third of the dough up, then peel off the paper. Then fold the top layer of the dough down.
Gently press to help seal the seam, then peel back the paper.
With a sharp knife, cut the roll into 6 pieces and place seam side down on a parchment-lined baking sheet, leaving a space of 1-2 inches between rolls.
In a small bowl, beat the egg and milk together and brush over the rolls.
Place in the oven for approximately 35 min until cheese is bubbly on the edges and tops are golden brown.
Tips: It is important to use parchment or wax paper for the rolling or you will not be able to fold the dough.
If you want smaller appetizer style bites, you can roll it up (like cinnamon rolls) and cut into small rolls. Reduce baking time by about 10 minutes.