Preheat oven to 375F° and place oven rack at center position. Line a baking sheet with parchment paper.
In a small bowl, mix the softened 4 ounces cream cheese and 1 tablespoon jalapeno brine until well blended.
Unroll the crescent dough and gently press down any curling edges. If using the peach jam, mix it in with the softened cream cheese and then using an offset spatula, spread the cream cheese mixture over the dough, covering it completely. Sprinkle the ½ cup shredded cheddar cheese over the cream cheese.
You can use the ¼ cup pickled jalapeno a couple of ways. If you don't want much heat, chop the jalapeños finely before sprinkling over the cream cheese. If you like more heat, leave them in the round slices as they came in the jar. Add more if you like (if you really want heat, I'd use fresh, raw jalapeños).
Using a pizza cutter or sharp knife, you're going to follow the long side of the dough and cut 1" strips (take the long road, so to speak), then you'll cut those strips into fourths. You should have 28 pieces to wrap around the hot dogs, but whatever will be fine.
Add one piece of hot dog to the cut strip and roll, pressing lightly to seal the end. Transfer to the baking sheet about 2" apart, seam side down and continue until they're all rolled. You might need two baking sheets or you can bake them half at a time.
In a small bowl, whisk the egg and about a tablespoon of water together then lightly brush the top and sides of each pig in a blanket. Sprinkle the top with coarse salt. You could use Everything Bagel seasoning, sesame seeds, or dried herbs.
Bake 13-15 minutes or until golden brown. Serve immediately out of the oven.