I've now looked at references in my (2009) edition of the OED to 'pig in a blanket.' The expression is first recorded in 1902, where it is said to be the American equivalent to our 'angels on horseback' (oysters wrapped in bacon). In 1926 it meant 'sausage in a roll.' In 1943 it meant 'frankfurter sandwich.' The modern British usage, meaning a sausage wrapped in bacon does not seem to be recorded.
Not only had I not (until this year) heard of a pig in a blanket, I've never eaten one, so far as I know. They sound disgusting.