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1
Assemble dough by whisking together the flour, yeast, sugar and salt. With a spatula, stir in the yogurt. Mix until dough mostly forms together, then knead in the bowl for about 20 times. Spray a small, clean bowl with nonstick cooking spray and place dough ball in bowl. Cover with plastic and let rise in a non-drafty place for about an hour. Dough won't rise that much, but it will develop great flavor and you'll see puffiness in the oven as they bake.
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2
Preheat oven to 400 degrees. If using an air fryer, preheat to 375. Line a small baking sheet with parchment paper and set aside. With a sharp knife, cut down the middle of each hot dog from end to end, being careful not to cut all the way through. Using your fingers, insert cheese into each hot dog, dividing the cheese equally. Set aside while preparing dough.
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3
Remove dough from bowl and divide into four equal pieces. Cut each of the four pieces in half for a total of eight dough balls. (Note: There will be some dough left over. Use it to make more hot dogs if you wish!). Lightly dust the workspace and with a rolling pin, roll one piece of dough into a rectangle until dough is about 1/8 inch thick. Using a sharp knife or a pizza cutter, slice dough into narrow strips, no more than 1/4 inch wide. Start at the end of a hot dog and begin wrapping the dough around the hot dog, being careful not to lose the cheese. There should be a little space in between the wraps. Repeat with all the hot dogs, placing each wrapped dog on the parchment lined baking sheet.
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4
Beat an egg and brush each wrapped dog with egg wash. Bake until golden brown and cheese is bubbling. About 15 minutes in the oven or about 12 minutes in the air fryer.
