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Preheat the oven to 375 degrees F.
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Crack the eggs into a small bowl, add the heavy cream (or milk) and whisk together until combined. Scramble and cook over medium high heat and set aside.
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Open the cinnamon rolls and set icing aside. Pave each roll on a large surface or cutting board and use a rolling pin to flatten and stretch each cinnamon roll, then cut each one in half.
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Evenly distribute the scrambled eggs amongst the cinnamon roll dough pieces then place one sausage link on top of each egg.
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Roll the sausage and scrambled eggs up in each cinnamon roll piece then place on a parchment lined baking sheet with the tail tucked under.
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Bake for 12-14 minutes until the cinnamon rolls are cooked and golden brown. Take out of the oven and let cool for a few minutes.
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Drizzle the icing over the top of each of the pigs in a blanket and serve with syrup.