Start by rolling a Rhodes white dinner roll roughly 8-inches long and 2 1/2-inches wide. We like to roll the dough in our hands first like a breadstick, and then roll it flat with the rolling pin.
Place half of a slice of cheese in the center of the dough, place a hot dog on top and roll it up at an angle so it covers the hot dog from end to end. Pinch any seams together to seal the dough.
Whisk an egg in a bowl and brush the top of the wrapped hot dog with the egg mixture, then press it into a plate of crushed nacho cheese tortilla chips (crush the chips with your hands or a rolling pin). Place the wrapped hot dog onto a silicone lined (or greased) baking sheet. Repeat with remaining hot dogs.
Bake at 350 degrees Fahrenheit for 20 to 25 minutes or until golden brown on top and bottom. Serve immediately with ketchup and mustard, if desired.