Heat the oven to 200ºc. Wrap a bacon rasher around each sausage and place onto a rack over a baking tray.
Slice the onions then place onto a baking tray. Drizzle with olive oil. Place the sausages and onions into the oven.
Whilst cooking, mix together the mustard, ketchup, sugar and Worcestershire sauce and some salt and pepper.
After 20 minutes of cooking remove the onions from the oven and stir the sauce into them on the baking ray. Place back in the oven for 10 more minutes.
Remove everything from the oven. Slice open the hot dog buns, place a Cumberland sausage and a chipolata in each bun then top with the sticky onions.