Preheat your grill to high heat (around 400F) for direct cooking.
Add a cast iron skillet 2 minutes before cooking.
Add your chopped bacon into the skillet and cook until crispy and fully rendered (about 8-10 minutes).
Pull off once done and separate the bacon from the fat in the skillet.
Place the bacon fat/oil in a bowl and let cool.
After the bacon has cooled, crumble it up into fine pieces.
Add to a bowl about ½ cup of the bacon fat (add canola oil if necessary), egg yolks, dijon, lemon juice and vinegar.
Using an immersion blender, blend until it has thickened.
Then fold in the chopped bacon and chopped chives. Set the baconnaise to the side.
Add your chorizo to the grill to cook for 10-15 minutes (flipping halfway through) or until they are 165F internal.
Once they are done, pull off and let cool.
Add the skillet back to the grill and saute your veggies until they are softened (about 5-6 minutes).
Then add a little oil and melt your freshly grated cheese.
Make sure to stir consistently, and once it is melted and gooey then pull off and keep warm.
Begin building your chorizo hot dogs with the hot dog bun, some baconnaise, chorizo, melted cheese and some veggies. Serve and enjoy!