Have a large piece of foil on hand. Cube the butter and scatter half the cubes along the center of the foil (you want the area of butter to be about as big as the hot dog bun when it’s open and laid flat). Sprinkle the sugar over the butter, then lay the apple slices on top. Open the hot dog bun so that it’s flat, and place it open side down on top of the apples. Scatter the remaining butter on top of the bun, then cover with a second piece of foil and crimp the edges so they’re tight to the bun.
Build a fire and let it burn down until you have a few flames and a solid bed of coals. Place grill over coals and let the grill heat up for a few minutes.
Place the foil packet apple side down on the grill and cook until you can begin to hear the packet sizzle, then continue to cook for about 10 minutes. Carefully flip the package over and cook for another 10 minutes. Carefully remove the package from the grill and open by tearing away the top piece of foil.
Sprinkle with ground cinnamon, if you’ve got it, and serve hot.