Combine sugar, yeast, salt, olive oil, milk, and water in a large mixer bowl. (I used my Bosch.) Add enough flour to make a soft dough. Knead on low speed until the dough is smooth and elastic, about 5 minutes. Let dough rest 5 minutes.
Preheat your oven to 350°. Line two large cookie sheets with parchment paper or use a silicone liner.
Spray the counter with cooking spray and roll the dough into a long rectangle. Use a pizza cutter to cut it into thin strips. Wrap pieces of dough around the hot dogs to look like mummy bandages. Make sure you leave a small gap for the eyes!
Place the wrapped hot dogs on prepared cookie sheets. Let rise for about 30 minutes. Bake in a preheated oven at 350° until golden brown, about 18-20 minutes.
Use a toothpick dipped in ketchup or mustard to attach the googly eyes.
Serve warm with extra ketchup and mustard for dipping.