Preheat a skillet to medium heat. Split the chorizo links in half like a butterfly (making one large flat piece of sausage), and grill on both sides in the skillet until cooked through, about 7 minutes on each side.

Meanwhile, in a separate skillet, add the olive oil, the cubanelle, and the onion over medium-high heat. Saute the veggies for 5 minutes until they begin to brown, then add the garlic, banana peppers, and a sprinkle of salt. Stir the veggies for 2 more minutes and turn the heat off.

Preheat the broiler to high. Split the hot dog buns and spread them with the mayo. Broil the buns for 90 seconds until lightly toasted. Layer the toasted buns with a piece of chorizo, some of the pepper mixture, and some of the cheese. Place back under the broiler until the cheese melts and is bubbly. Squirt on extra fresh mayo if you'd like, and EAT.