How to Make It
Preheat the oven to 425°. In a small bowl, combine the mayonnaise, sour cream, horseradish, mustard, honey, shallots, chives and lemon juice and season with salt and pepper.
Place a slice of cheese in the center of each splayed hot dog, breaking the slice if necessary to fit it in. Wrap a slice of bacon around each hot dog and secure it with toothpicks.
Arrange the hot dogs on a rimmed baking sheet and bake in the upper third of the oven until the bacon is crisp, about 12 minutes. Place each hot dog in a bun and serve, passing the horseradish sauce on the side.