In Chicago we put just about anything on our dogs.... mustard, relish, onions, sport peppers (ugh!), cukes, tomatoes, celery salt (that's the secret ingredient) but no mayo or ketchup. There's a place near our house that won't even let ketchup into their establishment.
We love Portillos, Genes & Judes, Al's. Pinks on the West Coast and Nathan's on the East.