Cajun Cornmeal Andouille Pigs in Blankets

Name: Cajun Cornmeal-Andouille Pigs in Blankets
Ingredients: 2 tablespoons dark brown sugar; 1 teaspoon active dry yeast; 1 cup all-purpose flour, plus more for dusting and kneading; 1/2 cup fine yellow cornmeal; 1 teaspoon Cajun seasoning; Kosher salt; 2 tablespoons unsalted butter, melted; Cooking spray; 6 links andouille sausage (1 pound 2 ounces); 6 tablespoons shredded pepper Jack cheese or Cheddar; 1 large egg, beaten; 1/2 cup mayonnaise; 2 tablespoons chopped cornichons; 2 tablespoons grainy mustard; 1 tablespoon ketchup; 2 scallions, thinly sliced; 2 teaspoons hot sauce