Wrap wieners in bacon slices. Preheat grill or grill pan.
Grill wieners, turning occasionally, until bacon is crisp and wieners are heated through. Keep warm.
Meanwhile, in large nonstick skillet, heat oil over medium-high heat and cook peppers and onion, stirring occasionally, until softened and slightly browned.
Spread buns with mustard and ketchup.
Top each bun with a bacon wrapped dog and evenly top with pepper-onion mixture, jalapeño slices and, if desired, salsa.