Preheat your grill to medium heat.
In a bowl, combine the shredded cheddar cheese, diced jalapeños, diced red onion, mayonnaise, Dijon mustard, and hot sauce. Mix well until all ingredients are evenly incorporated.
Make a lengthwise slit in each hot dog, being careful not to cut all the way through. Stuff each hot dog with the cheese and jalapeño mixture.
Place the stuffed hot dogs on the grill and cook for about 8-10 minutes, turning occasionally, until heated through and slightly charred.
While the hot dogs are grilling, lightly toast the hot dog buns on the grill for about 1-2 minutes.
Remove the hot dogs from the grill and place them in the toasted buns.
Garnish with fresh cilantro if desired, and serve immediately.