For the curry mayonnaise: Heat the oil in a small saute pan over medium heat. Add the onion and cook until soft, about 5 minutes. Add the garlic and cook for 30 seconds, then add the curry powder and cook for 1 minute, stirring constantly. Add 1 cup water and cook until it reduces and the spices cook out, about 5 minutes. Transfer to a medium bowl and let cool slightly.
Add the mayonnaise, lime zest and lime juice to the cooled onions. Cover and refrigerate for at least 1 hour and up to 24 hours to allow the flavors to meld.
For the rolls: Heat a charcoal or gas grill to medium-high for direct and indirect grilling. Brush the cut side of the lobsters with oil and sprinkle with salt and pepper. Grill, cut-side down, until lightly golden brown. Flip and continue grilling until the lobsters are just cooked through, about 5 minutes. Remove the meat from the tails and claws and chop. Fold the lobster, green onions, celery and dill into the cooled curried mayonnaise. Mound in the toasted hot dog buns and serve immediately.