Cut thawed dough into 36 to 40 one-inch pieces. Roll each piece into a small oval shape and place on a parchment-lined baking sheet. Cover with greased plastic wrap and let rise in a warm place until doubled in size.
Heat oven to 375 degrees F. Whisk egg with 1 teaspoon water and gently brush the tops of each roll. Bake until golden, about 15 minutes.
In a skillet over medium-high heat, cook Lit'l Smokies smoked sausages until browned. At the same time, heat chili in a saucepan over medium heat until hot.
Cut each roll in half down the top, not cutting all the way through. Place a smoked sausage into each roll, top with a spoonful of chili and garnish with cheddar cheese, onion and jalapenos.