My Danish friend Kira says that you can actually make them healthy by first off making your own, using chicken or turkey dogs, and including the all important whole wheat flour in the dough.
The first photo is the pølsehorn a la carte. The second photo is the plate AFTER I realized I could healthy it up a bit and add some veggies on the side. The other thing to note about these "sausage horns" is that they contain ketchup - the dough is brushed with it before they bake (I'm referring to the pølsehorn from Føtex supermarket bakery for those of you in Denmark). In the past, ketchup with hot dogs made me gag, but for some reason I really like it in this snack.
Just for fun, here is a link to a Danish recipe for pølsehorn along with a photo of a traditional looking version.
Note: Every time I cut and paste a Danish word into my blog I get all sorts of funky font problems. I've fiddled till there's no tomorrow and it looks like I can't do a darn thing about the different font sizes. Maddening!