Start by cutting the puff pastry into six equal parts and set aside.
Then, make a shallow cut in the middle of the hot dogs, open them wide and fill them with the mozzarella cheese.
To assemble, top the puff pastry we cut earlier with a slice of cheddar cheese, then add the hot dog with the cheese side facing down and close the pastry.
Repeat this process with all the pastry.
In a small bowl, add the egg yolks, the cooking cream and mix everything very well until combined.
Transfer all the hot dogs to a large baking sheet and brush the entire pastry with the mixture we prepared.
Add sesame seeds to taste.
Take the baking sheet to a preheated oven at 180° C (350° F) and let everything bake for 20 minutes.
Serve.