It's to replace the bun. It's basically just a vehicle to bring the wiener and toppings into your mouth.
But wieners aren't exactly healthy either, so may as well go all out and get the bun too. You can order a Baconator with lettuce instead of a bun too, you eat it kind of like a salad. But really, if I'm eating a freaking baconator and worrying about my health, the bun is the last thing I should be concerned about lol.
Why would anyone put lettuce on a hot dog lol? Just take the dog, add some chili and cheese. BOOM, perfect keto-friendly meal. Heck, you could even get one of those no-fact dogs to make it a HEALTHY keto-friendly meal lol.