In a medium bowl, whisk to combine all sauce ingredients. Preheat grill or grill pan on medium heat.
Build skewers by alternating hot dogs, pineapple, peppers, and red onion. Brush all over with sauce and place on preheated grill.
Grill on medium heat, flipping every couple minutes and basting with remaining sauce, until skewers are charred, about 8 to 10 minutes total.
