Cook chicken and hot sauce together in a non-stick skillet over medium heat, stirring to coat chicken evenly with hot sauce, until evenly heated, about 3 minutes.
Scrape chicken into center of the pan to form a shape similar to the hot dog bun. Cut Cheddar cheese slice in half and place on top of chicken; cook until Cheddar cheese is melted, 1 to 2 minutes. Place bottom half of hot dog bun over chicken and cheese mixture, slide a spatula underneath, and invert onto a plate. Place top half of hot dog bun over Cheddar cheese.