Mix 1 cup of flour, yeast, sugar and salt in a mixing bowl.
Another small mixing bowl, combine milk, water, butter and egg; mix well. Pour the liquids into the flour mixture and stir with wooden spoon. Add the remaining flour the mixture and mix everything well. You might need to add a little more flour if the mixture seems too wet. Turn the mixture over the floured board and knead for 5-8 minutes or use electric mixer with a dough hook and knead.
Pull the dough into a ball shape and place in a greased bowl, cover and let it rise in a warm place until they are doubled in volume, about 45-60 minutes.
Preheat oven to 400ºF.
Deflated the dough and knead 1 more minute, then divide the dough into 8 pieces.
Roll each piece of the dough into long oval shape just enough to cover a hotdog. Wrap each hotdog with the rolled out dough pinching the seam to seal entirely.
Using a scissor, give 8 slits on along the each dough but leave the bottom of the dough intact (make sure you cut the hotdog part all the way down).
Push each segment of the dog into the opposite direction to spread out and press down gently. Transfer the dough onto a baking sheet lined with parchment paper or baking liner. Brush the dough with egg wash and let them rest.
Meanwhile, saute onion and pepper in oil until soft, seasoning with a pinch salt and pepper. Remove from heat, add mayonnaise to them and mix well. Spread 1 tablespoonful of the onion mixture over the each dough. Drizzle with some ketchup and mustard. Bake them for 15-18 minutes or until done.