1) For the NY onion sauce: Heat oil in a medium saucepan over medium heat. Add onions and cook until soft. Stir in the cinnamon and chilli powder and cook for 1 min. Add the tomato ketchup, water, hot sauce and salt and black pepper and bring to a simmer. Cook mixture for 10 to 15 minutes or until thickened. Transfer to a bowl and let cool to room temperature before serving.
2) For the roasted red pepper relish: Combine all ingredients in a medium bowl and let sit at room temperature for 30 minutes before serving.
3) For the hot dogs: Heat the griddle to high. Griddle dogs until golden brown on all sides, about 7 minutes. Remove to a plate. Place buns on the griddle cut side down and cook until lightly golden brown, about 20 secs.
4) For assembly: Place hot dog into prepared bun. Top with NY onion sauce, horseradish mustard and then with the roasted red pepper relish.