Heat grill to medium (350° to 450°). Grill hot dogs until slightly charred all over, about 6 minutes, turning occasionally.
Toss shrimp with oil in a small bowl, then grill, turning once, until cooked through, about 3 minutes. Add buns and grill, turning frequently, until warmed and lightly charred, about 3 minutes.
Meanwhile, smash avocado with a fork in a small bowl and stir in onion. In another small bowl, whisk together mayonnaise and Sriracha.
Set dogs in buns and dollop with avocado mixture, then drizzle generously with Sriracha mayonnaise. Halve shrimp lengthwise and divide among dogs. Sprinkle with nori.