Combine all the teriyaki mayo ingredients together in a small bowl and mix well.
Toss the pineapple slices with the grapeseed oil then grill until grill marks appear, about 2 minutes. Flip the pineapple slices over, sprinkle with cayenne pepper (if you like it spicy), then remove the pineapple from the grill.
Turn the grill down to medium-high and grill the smokies until they are cooked through, 7-10 minutes, turning a few times. Lightly toast the buns on the grill for about 1 minute.
Serve the hot dogs with slices of grilled pineapple, teriyaki mayo and some or all of the toppings.