Heat a saucepan on the stove over medium heat, add the first 5 ingredients of the sauce to the pan, whisk to combine, bring to a boil, then simmer 4-5 minutes.
In a small bowl, combine the cornstarch and water.
Add this to the boiling sauce and whisk together, reduce the heat to low and simmer 3-4 minutes. Remove from the heat and set aside.
Heat the grill to medium.
Add the pineapple, jalapeños and hot dogs to the grill.
Grill for 8-10 minutes, rotating and flipping throughout the grilling process.
Remove the pineapple from the grill and dice.
Remove the roasted jalapeños and place in a plastic bag.
Set aside for 2-3 minutes, then remove from the bag, peel, de-seed and dice.
Place the grilled hot dogs in the Kings Hawaiian hot dog buns.
Top with the grilled pineapple and roasted jalapeños, then drizzle the teriyaki sauce over the top and serve.