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Using a sharp knife, make shallow diagonal cuts across one side of each hot dog, ⅛ to ¼ inch deep and ¼ inch apart.
Place scored hot dogs in a large resealable plastic bag and add dressing, Worcestershire, Cajun seasoning, and onions. Seal bag tightly, and turn to coat everything thoroughly. Refrigerate for at least 8 hours, or overnight for best flavor, flipping the bag occasionally.
Preheat a large cast iron or metal skillet over medium-high heat.
Remove the hot dogs from the marinade, letting excess drip off, and add to the hot pan. Reserve onions and marinade. Cook, undisturbed, until browned on one side, about 2 minutes. Rotate the hot dogs and cook until mostly browned, 2 to 3 more minutes.
Add reserved marinade and onions to the pan and cook, stirring occasionally, about 2 minutes. Add water to deglaze the pan and cook, stirring to loosen any browned bits from the pan. Reduce heat to medium-low and simmer until onions are very tender, 10 to 15 minutes, stirring occasionally.
Stir in ketchup and mustard and simmer a few minutes longer.
Serve hot dogs on buns topped with plenty of saucy onions.