"Kuuma koira" is kind of a jokey way of saying "hot dog" (as well as a dish of its own, it's like steamed sausage inside a doughnut). Usually people just use "hodari", "nakkisämpylä" or "hot dog".
Regarding your suggestion, "Is that a hot dog sausage?" is not possible because these types of compounds in Finnish are closed compounds. "A hot dog sausage" would therefore be "hodarimakkara", or in this case "kuumakoiramakkara" (which is not a word), not written separately as "kuuma koira makkara". So the only way to read the sentence is "Is that hot dog a sausage?".
Bonus. Some sausages in Finnish: soijamakkara, lenkkimakkara, raakamakkara, maksamakkara, salamimakkara, grillimakkara, juustomakkara, juustogrillimakkara...
It's a dish from Pirkanmaa; a relatively recent variation of the hot dog proper (hodari in Finnish). It's what we often call krapularuoka, "hangover food". So lots of fat and sugar. Here is Finland's favourite YouTube Brit investigating the matter. His channel is an excellent source for those interested in every day Finnish culture. :)
It's all a bit weird because apparently "kuuma koira" is a very specific kind of hot dog from the city of Nokia that is called a "kuuma koira" even in English, and the common American hot dog is actually nakkisämpylä, hodari, or even just literally "hot dog" as a loanword.
So having kuuma koira here translated as hot dog feels a bit off.
I'm feeling that the people who made this course are mixing a lot of their local customs and language in. This is in principle fine of course, if you want every foreigner to sound like they're from Nokia. :D or am I weird because songs in my region (Oulu) don't swing like a moose?