PETA has nothing against the consumption of hot dogs in particular, but they have everything against the consumption of animal products in general. They'll take any chance they can to turn us off to animal-based foods. In the case of hot dogs, they just do their best to gross us out about what the things contain.
PETA also says we should avoid hot dogs because participating animals were almost certainly treated cruelly on their way to the slaughterhouse. To this, Tom Purcell (linked above) replies:
We do need to do better in the way we treat farm animals. We should treat all G-d's creatures with honor and respect. We should allow them to live their lives in relative comfort and dignity. Then we should eat them.Exactly!