In a saucepan, saute onion in oil until tender. Stir in the next 11 ingredients. Add lemon. Bring to a boil. Reduce heat; simmer, uncovered, until slightly thickened, 20-25 minutes, stirring occasionally. Discard lemon slices. Place hot dogs in a 13x9-in. baking dish. Top with sauce. Bake, uncovered, at 350° until heated through, 18-20 minutes. Keep warm; serve with toothpicks.