Preheat oven to 400°F (200°C). Line a baking sheet with parchment paper.
In a bowl, whisk flour, baking powder, and salt. Add chilled butter cubes and toss to coat. Use a pastry cutter or hands to work butter into flour until mixture resembles coarse crumbs.
Gradually add milk, stirring until a soft, shaggy dough forms. Wrap in plastic, chill 10 minutes.
Roll dough into a 1/4-inch-thick sheet. Cut into 2-inch rounds and re-roll scraps. Stack rounds between parchment paper. With a star-shaped cutter (or stencil), cut a 1-inch star from the center of each round. Set aside.
For the glaze: Whisk hot honey, mustard, soy sauce, sriracha, and cornstarch in a small bowl.
Place hot dogs in an oven-safe pan and preheat grill or oven to medium-high heat to warm. Brush dough rounds with glaze, leaving a 1/4-inch border. Wrap each hot dog in a dough round, crimping edges to seal. Place on prepared baking sheet.
Grill or bake 12–14 minutes until golden and bubbly, rotating halfway through. Let cool slightly before serving.