In a small pot, combine all ingredients for teriyaki sauce, except sake and cornstarch. Cook on medium-high heat until warm and add sake and cornstarch. Bring to a boil while whisking constantly until dissolved and desired thickness is reached. Do not leave unattended and set aside when done.
Preheat grill to medium high heat. Add hot dogs to the grill and cook, about 4-5 minutes. Grill your shishito peppers, about 3-4 minutes.
To assemble the hot dogs, add the hot dogs into each hot dog bun. Lightly brush hot dog with teriyaki sauce. Top with your favorite toppings, including shishito peppers, and drizzle with terimayo sauce.
Serve immediately.
