Heat oven to 375°F. In large skillet, cook ground beef and onion over medium-high heat until beef is thoroughly cooked, stirring frequently. Drain.
Add cabbage, salt and pepper; mix well. Reduce heat to medium; cover and cook 10 to 15 minutes or until cabbage is crisp-tender, stirring occasionally. Cool 5 minutes. Stir in cheese.
Separate dough into 16 triangles; press or roll each until slightly larger. Spoon about 1/4 cup beef mixture on shortest side of each triangle. Roll up, starting at shortest side of triangle, gently wrapping dough around beef mixture and rolling to opposite point. Pinch edges to seal. Place point side down on ungreased large cookie sheet.
Bake at 375°F. for 15 to 20 minutes or until golden brown. Meanwhile, in small bowl, combine mayonnaise and horseradish sauce; blend well. Serve sauce with sandwiches.