Take a sharp knife, and cut a vague circle or square into one end of the bun (no problem how it looks) - depending on preference, it can be deeply angled, or pretty shallow. Work the plug of bread out. Levering your knife towards the middle of the bun should pop it out, if not try a few times on opposite sides.
Take a butter knife, and slide it into the bun. Wrap your hand around one side of the bun, and push the flat side of the knife towards your hand. Rotate, pushing the bread away from the center, with your hand braced on the outside of the bun (note having your hand there helps keep the bread from splitting, it may not be necessary if the bread is soft, if you already cut deeply, or if you don't mind if it tears a bit). You now have a hollow hot dog bun.
It's probably easiest to add whatever sauces you want on your hotdog first (toppings might be a little trickier depending on how dry they are). when you slide the hotdog in, it will displace the sauces, and spread them all the way down and back up the bun. You can be pretty generous with sauces, they won't leak out since they are enclosed in the hollow bun. Drier toppings you might have to try to tuck down the sides of the bun as you're sliding in the hotdog to fit - or just layer on top per bite afterwards. This basic principle is how they make the 'puka' style hotdog in Hawaii (though I think they're called 'hula' style now).
You can use the leftover plug of bread to stop the open end, keeping the sauces in while it's horizontal on a plate or while you make multiple hotdogs. A shallower cut plug is easier to fit back into the open end, a deeper one is easier to hollow out - and if you don't care about putting it back, you can even slice the very end off the bun horizontally to get access to the softer crumb for hollowing it. If you don't replace the bread plug, you can eat the extra, use it for breadcrumbs, or simply discard.