Lambs in a Blanket with Cilantro Yogurt

Name: Lambs in a Blanket with Cilantro Yogurt
Ingredients: 2 tablespoons olive oil, divided; 1½ pounds merguez sausage, cut into 2 lengths; 1 sheet frozen puff pastry (one 14-oz. package or half a 17.3-oz. package), thawed; All-purpose flour (for surface); 1 large egg, beaten to blend; Black and/or white sesame seeds (for serving); Flaky sea salt; 1 cup plain Greek yogurt; 3 tablespoons chopped fresh cilantro; 1 tablespoon fresh lemon juice; 1 garlic clove, finely grated; Kosher salt, freshly ground pepper