It can be used for hot dogs or sausages wrapped in some sort of bread and baked, but I originally heard it as old diner lingo for sausage and pancakes. Not sure about the British usage.
I'm slightly suspicious of this. Not because Britain doesn't have weirdly named food (e.g. spotted dick, toad-in-the-hole, bubble and squeak, etc.), but rather that that name actually makes sense.