Pat the hot dogs and bacon dry with paper towels. Wrap each hot dog with a slice of bacon in a spiral; secure the bacon at each end with a toothpick.
In a large skillet, heat the vegetable oil until shimmering. Add the hot dogs and cook over moderate heat, turning, until the bacon is crisp, about 5 minutes. Transfer the hot dogs to paper towels to drain. Discard the toothpicks.
Tuck the hot dogs in the buns. Top with the sliced avocado, sour cream and salsa and serve.