If using regular yoghurt, place it in a strainer lined with paper towel and set the strainer over a bowl. Let the yogurt drain and thicken for 20 minutes.
In a bowl, stir together the thickened or Greek-style yogurt, mayonnaise, celery, spring onion and lemon juice. Fold in the lobster meat and season, to taste, with salt and pepper. Chill until ready to use.
Just before serving, open the hot dog buns and brush the inside with olive oil. Heat a griddle pan over moderately high heat and grill the bread, cut side down, until toasted, about three minutes. Fill each with 180g of the lobster mixture and serve immediately