And what was the reaction?

Although there are no explicit statements from monarchs regarding their views on hot dogs, it’s reasonable to assume that King George likely found them enjoyable. A report from The Times about the picnic mentioned that the king expressed his eagerness to "sample the favorite American snack" before the event and requested more afterward. However, given the British royal family's emphasis on decorum, it’s unlikely they would openly express disdain for them.
There are subtle indications that Queen Elizabeth may have found the situation somewhat improper: she inquired of FDR how to eat hot dogs, to which he bluntly replied, "Very simple. Push it into your mouth and keep pushing it until it is all gone," as reported widely (via Smithsonian Magazine). In response, she opted to eat her hot dog with a knife and fork. Nevertheless, according to The Times, she referred to the entire trip as an "idyllic experience," suggesting that the hot dogs were not overly distressing.
The most significant objections appeared to come from FDR's mother, Sara, who strongly opposed her son's idea of serving hot dogs to royalty. However, other accounts indicate that it was not a major issue: FDR's cousin, Daisy Suckley, later described the media frenzy surrounding the hot dogs as "all so silly" (via New York Times). Additionally, another guest, Angier Biddle Duke, a relative of the Roosevelts by marriage, characterized the meal as "all very natural," asserting that it was the media that exaggerated the situation.
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