Heat an outdoor grill to medium-high heat. Add the hot dog buns cut-side down and cook until lightly toasted. Remove from the grill. Add the hot dogs and grill on all sides until cooked to your liking.

Spread some bbq sauce onto the inside of each hot dog bun. Top with iceberg lettuce and a grilled hot dog. Add the tomato slices and avocado slices and top with feta cheese crumbles.