Stir together the flour, sugar, yeast and salt in a large bowl or in a stand mixer fitted with a dough hook. Combine the water, milk and olive oil in a small bowl or measuring cup, then stir it into the flour mixture. Knead, either by hand on a lightly floured surface or with the stand mixer on medium speed, adding more flour if needed, until smooth, 7 to 10 minutes. Transfer the dough to an oiled bowl, cover it with plastic wrap or a damp kitchen towel, and let it rise until doubled in size, about 2 hours.
Mix the ketchup and harissa together in a small bowl until smooth and combined. Set aside.
Oven method: Line a baking sheet with parchment paper. Divide the dough into 8 equal parts and keep it covered when you're not working with it. Working with one piece of dough at a time, roll out a long skinny snake and wrap it firmly and evenly around a hot dog. Roll it back and forth on your work surface a couple of times so that the coils of the dough stick together, then place it on the baking sheet. Continue with the remaining dough and hot dogs, placing them 1 1/2 inches apart on the baking sheet. Let them rise for 30 more minutes and preheat the oven to 350 degrees F.
Beat together the egg yolk with 1 tablespoon water in a small bowl. Brush the tops and sides of the dough evenly with the egg wash. Bake until lightly browned, about 18 minutes. Let cool slightly and enjoy with lots of harissa ketchup.
Campfire method: Start a bonfire! For each bagel dog, wrap a piece of foil around one end of a long 1-inch-diameter wooden dowel so that it covers about 6 inches of length at the tip. (Just the tip.) Divide the dough into 8 equal parts and keep it covered when you're not working with it. Take a piece of dough and roll it into a snake; wrap it firmly around the foil-covered part of the dowel. Roll it between your hands a few times to make sure there are no holes in the dough, then stick it right above the fire. Rotate it so that it cooks evenly and cook it gradually until it is browned evenly on all sides. (Make sure that it's not touching the fire at all; otherwise it will brown quickly on the outside but still be raw on the inside.) As you cook the bagel, stick a hot dog or sausage on a pointy stick and warm it right alongside the bagel in the fire. Let the bagel cool briefly, then remove it from the dowel, using a paper towel to shield your hands in case it's still quite hot. The bagel should slip off pretty easily. If it doesn't, cook it a little bit longer.
Slide the hot dog or sausage into the bagel coil and enjoy with the harissa ketchup! Repeat with the remaining dough and hot dogs.