Preheat your grill to medium-high heat.
In a small bowl, whisk together the greek yogurt, Neufchâtel cheese, 1/4 cup Frank's, and black pepper. Set aside.
Grill your chicken dogs for about 7-8 minutes on each side or until they are warm and have perfect grill marks.
Dip each chicken dog into the remaining 1/4 cup of Frank's sauce.
Assemble your chicken dogs by layering romaine lettuce on the bottom of the bun, followed by the chicken dog, green onions, celery, and blue cheese. Drizzle the yogurt sauce over top, and serve hot. Enjoy!