Prepare an outdoor grill for medium heat. Stir together the mayonnaise, sour cream and chipotle in a adobo in a small bowl. Refrigerate it while you make the danger dogs.
Put 1 cheese stick into each jalapeno half, then fill with some sausage, pressing in and making sure the cheese is fully covered. Tightly wrap each jalapeno half in a strip of bacon, pressing it firmly so the bacon sticks to the chorizo.
Grill the jalapenos cut-side down, moving as needed to avoid flareups, until the bacon on the bottom is brown and crispy and the sausage is cooked, about 10 minutes. Flip and continue to cook until the bacon on the other side is brown and crispy, another 10 minutes (to keep the melted cheese from leaking out, do not flip again). Put 2 grilled jalapenos in each bun, top with the spicy mayonaise and sprinkle with scallions.
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