Considering that Chicago style hot dog has pretty much everything in the universe on it, I'm not surprised that there are some interesting hot dog combinations. Hot dogs can be like bloody marys. Sure, you can have the standard version with no frills and that's good, but you can also have one with an entire pizza on top of it and everyone is OK with that too. Look at places like 7-11. They have nacho cheese and chili for the nachos, but you know they want you to load up your hot dog with that stuff too.
Jelly on the dog counteracts the saltiness of the hot dog, so I would highly recommend this. I'd especially recommend trying it with a gourmet sausage like a bratwurst. No need to always go the cheap route with Oscar Myer. Treat yourself with some rattlesnake sausage.