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.
Notes
If you don't have candy eyeballs, you can simply use dots of mustard or ketchup for the eyes.
Leftover mummy dogs can be stored in an airtight container in the fridge for 3-4 days.