Directions

1. For the donut buns, combine the yeast, milk and 2 teaspoons of the sugar in a bowl and let stand until frothy, about 5 minutes. Transfer to the bowl of an electric mixer and add the remaining 7 teaspoons sugar, egg yolks, melted butter and vanilla extract. Mix with the paddle attachment on medium Combine the flour, nutmeg and salt in a bowl then add to the mixer and mix until a soft dough forms. Turn the dough out onto a lightly floured surface and knead until it is smooth and elastic, about 4-5 minutes. Let the dough rest 15 minutes then divide into 8 pieces. Roll each piece of dough into a 5-inch long cylinder. Place dough cylinders on a baking sheet that has been covered with parchment paper then cover with plastic wrap and let stand until doubled in bulk, about 1 hour.
2. Meanwhile, for the caramel sauce combine the sugar with 1/4 cup water in a medium saucepan and bring to a boil over medium-high heat. Continue to boil until the sugar mixture turns golden, about 10-12 minutes. Remove from the heat and carefully stir in the heavy cream and salt, continuing to stir until the foaming subsides. Stir in the vanilla extract and reserve.
3. Heat 3 inches of oil in an Anolon Authority 3-Quart Covered Straining Saucepan fitted with a deep-fry thermometer to 350°F -360°F. Carefully add 4 of the dough cylinders and cook, turning once, until golden brown on both sides, 3-4 minutes. Transfer to a wire rack to drain and cool. Repeat with the remaining dough. Lower the heat until the oil to medium.
4. For the Churro dogs combine the butter, 2 tablespoons of the sugar, and salt with 1 cup of water in a medium saucepan over medium-high heat. Bring mixture to a boil; remove from the heat and stir in the flour until a dough forms. Add the eggs, one at a time, stirring until the dough comes back together before adding the next egg. Transfer the dough to a pastry bag fitted with a 1/2-inch star tip. Increase the heat under the oil to medium-high and bring the temperature to 360°F. Holding the pastry bag a few inches above the oil, squeeze out the dough, snipping off 3 to 4 6-inch lengths with a knife. Cook, turning occasionally, until golden brown all over, about 4-5 minutes. Transfer the churros to a wire rack and let drain 1 minute. Combine the remaining 1/2 cup sugar with the cinnamon in a large bowl. Add the drained churros and toss well to coat. Repeat with the remaining dough and cinnamon sugar.
5. To assemble: cut the donut buns lengthwise along one side leaving a small hinge on the other side to keep the sides attached. Place a churro dog inside each bun then top with whipped cream, shaved chocolate and drizzle generously with the caramel sauce.