Jim

The thick reference work "Famous First Facts" has them for ALL
places, and New York City has a long section, as delineated in
an index to this work.  Other indexes are by Year, Names, Day-of-Year:

Joseph Nathan Kane,  "Famous First Facts",  NY: H.W.Wilson Company.

I saw this book in a library, but bought a used copy via web used-book
search. Mine is (c)1981; there's a newer edition.

But I can't spot the item hotdog/frankfurter/sausage in it.

Some other reference gave credit to Charles Feltmans restaurant at
Coney Island, Brooklyn circa 1900, but also indicated Harry Stevens at
Polo Grounds was a contemporary contender.  But these do make it
an NYC-first.

Recommend this Kane book as your starting-point.

Tim Holls
20000829.0705