Wrap each dog evenly in 1 slice of bacon. Secure with a toothpick at both ends and refrigerate for at least 30 minutes to firm up the bacon and help it adhere.
Heat a grill or grill pan for medium heat. Grill each side of the hot dogs until the bacon is extra crispy but not burnt. It is import to control the heat to insure the hot dogs get properly warmed through and the bacon does not burn or undercook. Set aside.
Butter the outsides of the "pocketed" rolls and gently griddle them until just golden brown.
Layer a schmear of warm refried beans on the bottom of each roll followed by a bacon-wrapped dog. Top with the avocados, tomatoes, onions, jalapenos and a squiggly drizzle of Zesty Mayo. Garnish with some cilantro leaves and serve with your favorite hot sauce.
Combine the cilantro, mayonnaise, hot sauce, lime zest and juice and some salt and pepper in a bowl and whisk until well blended.
Bolillo rolls can be found in Mexican grocery stores or bakeries.