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1. Place dye in a small glass bowl. Wearing rubber or latex gloves and using a small pastry brush, lightly brush one side of each almond with food coloring; let dry.
2. Preheat oven to 450 F. and arrange rack in center. Lightly brush a large nonstick shallow baking pan with oil.
3. Working with 1 strip of dough at a time, stretch and wrap around 1 sausage link, sealing dough on one end and leaving the other end of sausage exposed; transfer to prepared pan. Repeat with remaining dough and sausage. Brush tops of dough with egg and place 1 almond, red side up, on covered end of each finger, for nail. Chill until dough is firm, about 15 minutes.
4. Bake until puffed and golden brown, 12 to 15 minutes. Transfer fingers in pan to a rack and let cool 5 minutes. Using a metal spatula, transfer fingers to racks and let cool slightly. Arrange on a platter and serve with marinara sauce on the side for dipping.