Preheat oven to 350°F. Line baking sheet with parchment paper and set aside.
Divide dough into 6 equal parts. Cover dough with plastic wrap to prevent them from drying out as you assemble the hot dog buns one at a time.
Take one portion of dough and roll it out into a long piece about 12-inches in length. Place 3-4 jalapeño slices on dough and sprinkle cheese on top.
Place hot dog at the bottom end of the dough and roll up. Pinch the end seams closed. Repeat with remaining hot dogs.
Arrange hot dog buns on prepared baking sheet. Add 3 slices of jalapeño on top of bun and sprinkle with cheese. Place in the oven for 15 minutes. At this point, the bread will expand and the displace the jalapeño. Remove from oven and lightly brush bun with egg wash. Add additional jalapeño slices and shredded cheese. Bake for another 15 minutes until bread is golden brown and cheese has melted.
Serve warm and enjoy immediately.*