Preheat oven to 350 degrees F. Line a baking sheet with parchment paper; set aside.
In a small bowl combine mozzarella cheese and 1/3 cup of the pizza sauce. Using a rolling pin or your fingers, roll or stretch one of the dinner rolls to a 4-inch circle. Spoon a slightly rounded tablespoon of the cheese mixture on top of the dough round. In another small bowl whisk together egg white and the water; brush the edges of the dough circle with the egg white mixture. Gather the dough edges together and pinch to make a ball. Place, seam side down, on the prepared baking sheet. Repeat with the remaining rolls and cheese mixture to make 12 balls.
Brush dough balls with egg white mixture; sprinkle with sesame seeds. Halve each pretzel stick. For legs, push three pretzel stick halves into dough on one side of each ball and three on the other side of each ball. For head, place a pretzel nugget on top of each ball. Let rise in a warm place for 10 minutes. Bake in the preheated oven for 15 to 18 minutes or until golden. (Bug buns may leak cheese and sauce onto parchmentthis makes them look creepy.)
Meanwhile, in a small saucepan heat the remaining pizza sauce over medium heat until heated through. Serve warmed pizza sauce with bug buns.