Make the pinto beans: Heat the avocado oil in a small saucepan over medium heat. Add the finely diced white onion and jalapeño and cook until softened, about 3 to 4 minutes. Stir in the pinto beans, water, kosher salt, cumin, and oregano. Bring to a gentle simmer and cook, stirring occasionally, until slightly thickened, about 5 to 7 minutes. Keep warm.
Wrap and cook the hot dogs: Wrap each beef hot dog tightly with one slice of bacon, gently stretching it so it stays in place. Place the bacon wrapped hot dogs in a large, cold skillet, then turn the heat to medium. Cook, turning occasionally, until the bacon begins to render, about 4 to 5 minutes.
Cook the peppers: Once the bacon releases fat, add the whole banana peppers to the skillet. Continue cooking, turning everything often, until the bacon is crisp and the peppers are tender with lightly charred spots, about 6 to 8 minutes more. Remove the hot dogs and set aside.
Sauté the onions: Add the sliced white onion to the same skillet with the remaining bacon grease and peppers. Cook, stirring and turning the peppers, until the onions are soft and lightly caramelized, about 5 to 7 minutes. Remove from the pan and season the peppers with a pinch of salt.
Toast the rolls: Slice the bolillo rolls or buns open from the top to create a pocket. Lightly toast them in the remaining grease in the skillet for about 1 minute.
Assemble: Place a bacon wrapped hot dog into each roll. Spoon warm pinto beans over the top, then add the sautéed onions, raw diced onion, tomato, jalapeño, and fresh cilantro. Finish with mayonnaise, yellow mustard, cotija cheese, salsa verde, or any toppings you like. Serve with the grilled banana peppers on the side.