For the sauce: In a small bowl, add all ingredients and stir well to combine. Season with salt and pepper and refrigerate until ready to serve.
For the hot dogs: Preheat the oven to 450 degrees F. Spray a baking sheet with nonstick spray.
Divide the dough into 12 equal pieces and roll each into a long rope about 8 inches long. Wrap each hot dog with 1 ropes, starting at the bottom and twisting it around the hot dog until you get to the top. If there is left over dough, fold it under the hot dog.
Dissolve the baking soda into the hot water.
Lay each dog on the prepared baking sheet and brush each with the baking soda mixture and then with the melted butter. Sprinkle with sea salt or smoked salt, if desired. Place into the oven and bake until golden brown, 10 to 12 minutes. Serve with the mustard sauce.