Cook the bacon in a skillet over medium heat until slightly crisp, 3 to 4 minutes. Add the onion, chili powder and cumin and cook until the onion is soft, about 3 minutes. Stir in the ketchup and cook until it is slightly browned, 2 to 3 minutes. Add the beans, tomatoes, hot sauce and 1 cup water, cover and bring to a boil. Uncover and cook, stirring occasionally, until the mixture thickens, about 20 minutes.
Meanwhile, preheat a grill to medium and brush with vegetable oil. Grill the hot dogs until marked, turning, about 10 minutes. Toast the rolls on the grill, if desired.
Sprinkle the inside of each roll with cheese, then add a hot dog, some of the bean mixture and more cheese. Top with scallions, sour cream and/or hot sauce, if desired.