Combine the yeast, sugar, and 2 tablespoons of the vegetable oil in the bowl of an electric mixer fitted with a dough hook. Add the water. With the mixer on low speed, beat the mixture for about 4 minutes to dissolve the yeast. If the yeast doesn't begin to foam after a few minutes, it means it's not active and you'll have to start again with new yeast.
In a seperate large mixing bowl, combine the flour, 1/4 cup plus 2 tablespoons of the cornmeal and the salt. Add this mixture to the yeast mixture. Mix on low speed until it lightly comes together, then increase the speed to medium and beat until the mixture pulls away from the sides of the bowl, forms a ball, and climbs slightly up the dough hook.
Remove the dough from the bowl. Coat the bowl with the remaining teaspoon vegetable oil, return the dough to the bowl, and turn it to oil all sides. Cover the bowl with plastic wrap, set in a warm, draft-free place, and let rise until doubled in size, about 2 hours.
Remove the dough from the bowl and turn it onto a lightly floured surface. Using your hands, gently roll it to form a narrow loaf about 24 inches long. Cut the dough into 18 equal portions (each about 2 1/2 ounces). Using your hands, pat each portion out into rounds about 4 inches in diameter. Spread each with 1 teaspoon of the mustard, then place a sausage piece on the bottom of each round and roll the rounds up. Line 2 baking sheets with parchment or waxed paper and sprinkle them with the remaining 4 tablespoons cornmeal. Place the rolled-up sausages, seam side down, 9 on each baking sheet, about 2 inches apart on the paper. Cover with plastic wrap and let rise in a warm, draft-free place until doubled in size, about 30 minutes.
Preheat the oven to 425&
Brush the tops of the rolls with the egg wash, then bake until golden brown, 12 to 14 minutes.
Serve hot accompanied by the remaining mustard and the onion marmalade.
Makes 18 rolls.