A hot dog with cheese inside and wrapped in bacon is called a Whistle Pig, made famous by Page's Whistle Pig in Niagara Falls, NY, and I've been eating them for over 50 years.
As for hot dog sauce, below is my ripoff, er, version, of Ted's Charcoal Hots (Buffalo NY locations) hot dog sauce, which I believe is pretty authentic.
Ted's Hot Dog Sauce
1 1/2 teaspoons olive oil
1 small onion, dliced
1 red bell pepper, diced
4 cups water
1 tablespoon tomato paste
2 teaspoons corn syrup
1 teaspoon cornstarch
1/2 teaspoon salt
1 teaspoon crushed red pepper
1 tablespoon chile powder
1 teaspoon paprika
1/4 cup vinegar
1 10-oz jar sweet pickle relish
1. Heat the oil in a large saucepan over medium heat.
2. Sauté diced onion and bell pepper in the oil for 5 minutes, until onions are soft but not brown.
3. Add water, tomato paste, corn syrup, cornstarch, salt, and red pepper flakes, and stir.
4. Bring mixture to a boil, then reduce heat and simmer for 30 minutes. Add vinegar. Continue to simmer for an additiona1 30 minutes or until most of the liquid has reduced and the sauce is thick. Add relish and stir to heat through, then turn OFF burner.