I'm thinking about slitting a hot dog lengthwise, filling it with cream cheese, wrapping it with bacon, and grilling it until hot all the way through and the bacon's fairly well-cooked. I think it might require a large hot dog and a mix of indirect and direct grilling.
I grew up on something similar to this - but different. My mother would take a "Kahn's" hot dog (advertised as "The Weiner the World Awaited!"), split it lengthwise all the way through except the ends, insert two hunks of "Cracker Barrel" Sharp cheddar cheese, wrap with bacon, pin with toothpicks and broil. She would turn the dogs over just once and pull them out when the bacon was crisp, the cheese melty-soft, and the dog done just right! Didn't need ANY condiments, it was just plain delicious!!!