Preheat grill to high and oil the grate.
Combine teriyaki mayo ingredients together (mayonnaise, teriyaki sauce, lime juice, and sea salt) in a small bowl and mix well.
Toss the pineapple slices with the grape seed oil then grill until grill marks appear, about 2 minutes. Flip the pineapple slices over, sprinkle with cayenne pepper, then remove from the grill and cut into quarters.
Turn grill to medium-high and grill hot dogs until they are cooked through, about 7-10 minutes, rotating a few times. Lightly toast the buns on the grill for about 1 minute.
Serve hot dogs topped with grilled pineapple, teriyaki mayo, and additional toppings.
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