1. First create the cheese sauce by tossing together the cheese and cornflour in a small saucepan.
2. Combine the remaining ingredients (apart from the whole milk) and cook over medium heat. Whisk the mixture regularly until the cheese has melted and the sauce is smooth.
3. Allow the mixture to cool to room temperature and whisk vigorously every 5 minutes to avoid a skin forming on top. Add milk as needed to keep the soft sauce consistency.
4. Lay out the bacon flat and brush one side with a generous helping of Peppered Steak Sauce. Place a hot dog on top of each strip of bacon at a diagonal angle and roll the hot dog until wrapped with bacon. Use toothpicks to secure each end and trim them to make it easier to fry.
5. On medium high heat, fry the wrapped hot dogs until dark golden brown. After all of the hot dogs are cooked, fry the diced bacon chunks and sliced onions until a dark golden brown.
6. Partially cut the brioche buns and place a bacon wrapped hot dog in each bun, top with onion, bacon chunks and the cheese sauce mixture.
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Prep time: 20 minutes Cooking time: 25 minutes