Place dogs in gentling simmering water to plump and heat through. Serve hot or mark on a hot grill if you prefer crispy dogs.
While the dogs heat, place a saucepot over medium heat. Melt butter add peppers and garlic. Season with salt and pepper. Cook 2-3 minutes then sprinkle with flour and cook 1 minute more. Whisk in milk and let thicken. Melt cheese into sauce and adjust salt and pepper to taste.
Place dogs in rolls, dress with a little mustard then top with some cheese sauce, pickled jalapeños and hot dog salsa. To serve, cut the dogs across and arrange on platter.