For the onion sauce: Heat the oil in a medium saucepan over medium heat. Add the onions and cook until soft, about 5 minutes. Stir in the chile powder and cinnamon and cook for 1 minute. Add 1 cup water, the ketchup, hot sauce, salt and black pepper and bring to a simmer. Cook until thickened and the onions are very soft, adding more water if needed, about 25 minutes. Transfer to a bowl and let cool to room temperature before serving.
For the grilled pepper relish: Combine the garlic, peppers, oil, vinegar and parsley in a bowl and season with salt and pepper. Cover and let sit at room temperature for at least 30 minutes before serving.
For the hot dogs: Heat a grill to high for direct grilling. Brush the dogs with oil and sprinkle with pepper. Grill until slightly charred and golden brown on all sides, about 6 minutes. Put the hot dogs in the buns and top with mustard, onion sauce and grilled pepper relish.