“Cocktail franks” are small-sized frankfurters often served with a toothpick as hors d’oeuvres during a cocktail hour. Prohibition ended in the United States on December 5, 1933; cocktails could be legally obtained.
 
“Cocktail style sausages and frankforts” dates to January 25, 1934. “Cocktail frankfurters” dates to May 10, 1934. “Cocktail franks” dates to January 18, 1935. “Cocktail wieners” dates to May 28, 1936. “Cocktail weiners” dates to July 16, 1937. “Cocktail weenies” dates to April 24, 1953. “Cocktail wienies’ dates to January 23, 1963.
 
“Small midget frankfurters” were advertised in the New York (NY) Times as early as April 1, 1905. In July 1933, they were called both “midget frankfurts” and “tiny frankfurters,” before the “cocktail” name became attached.
 
 
Hebrew National
Cocktail Franks
Smaller size, same big taste. When you need a smaller frank but don’t want to give up any of the great, 100% kosher quality, look for Hebrew National’s cocktail franks. Great for entertaining on any occasion.
 
Nathan’s Famous
Cocktail Franks in 14oz. & 40oz. Packages
Cocktail Frank “Beef Smokies”
 
Kosher.com
Beef Cocktail Frankfurters
   
1 April 1905, New York (NY) Times, part II (book review), pg. 3, col. 5:
Small Midget Frankfurters, lb. 10c
(Simpson Crawford Co.—ed.)
 
17 June 1933, Gettysburg (PA) Times, pg. 3, col. 3:
Small frankfurters, skinned, with broiled bacon around them placed in rolls make substantial refreshments after the informal evening bridge game.
 
2 July 1933, Portsmouth (OH) Times, pg. 27, col. 2:
Midget frankfurts, which are a small edition of the usual frankfurt, are also marketed and are particularly suitable for picnics, hors d’oeuvres, etc.
   
26 July 1933, Huntingdon (PA) Daily News, pg. 9, col. 3:
There are also tiny frankfurters that are gaining in popularity as hors d’oeuvres or accompaniments to glasses of foaming beer.
 
25 January 1934, Lowell (MA) Sun, pg. 5, col. 2 ad:
Introducing—
New, Dainty Cocktail Style
Sausages and Frankforts
12 1/2-oz. tin—39c
(Pollards—ed.)
 
10 May 1934, Syracuse (NY) Herald, pg. 27, col. 1 ad:
GOBEL’S COCKTAIL
Frankfurters 29c
(Jumbo Foods—ed.)
 
14 July 1934, Wisconsin State Journal (Madison, WI), pg. 6, col. 5 ad:
WILSON’S COCKTAIL
Frankfurters 4-oz. can 10c
(A&P—ed.) 
 
3 December 1934, Oakland (CA) Tribune, pg. 7, col. 8 ad:
Wilson’s Cocktail Frankfurters…10c
(Whitthorne & Swan—ed.)
 
11 January 1935, Frederick (MD) News, pg. 2, col. 5 ad:
Stahl Meyer Cocktail Style Frankfurters
large can 39c
(Staub’s—ed.)
 
18 January 1935, Lima (OH) News, pg. 10, col. 7 ad:
Cocktail Franks,
12 1/2 oz. can… 55c
(High Street Market House—ed.)
 
1 March 1935, Greeley (CO) Daily Tribune, pg. 2, col. 5 ad:
STAHL-MEYER COCKTAIL STYLE FRANKFURTERS
These midget frankfurters, heated and impaled on toothpicks, make unique hors d’oevres to serve with cocktails. They are also delightful with fried or scrambled eggs or as a delicious luncheon todbit.
Small can, containing 25 Frankfurters, 25c
Large can, containing 55 Frankfurters, 45c
Colored Toothpicks, box…23c  
(Snow-White—ed.)
 
29 March 1935, Wisconsin State Journal (Madison, WI), pg. 17, col. 6 ad:
SOMETHING NEW IN APPETIZERS!
SAMPLE THEM AT THE FOOD SHOW
FRANK’S
Tiny Cocktail Sausages
Tiny Cocktail Frankfurters
and
Tiny Cocktail Baconettes
5-oz. tins 29c
(Thrifty Food Stores—ed.)
 
17 February 1936, New York (NY) Times, pg. 5 ad:
THE FANCY NAME of Lily White Cocktail Frankfurters is on the 12 1/2 oz. tin for which you gave up 37c but in plain words they’re nothing but the tiniest hot dogs you ever saw.
(Macy’s—ed.)
 
28 May 1936, Stevens Point (WI) Daily Journal, pg. 2, col. 6 ad:
COCKTAIL WIENERS 22c
(A&P—ed.)
   
12 July 1936, New York (NY) Times, pg. 14 ad:,
Stahl-Meyer Cocktail Franks
5 oz. tin 35c—3 for $1.00
(Gimbels—ed.)
   
16 July 1937, Logansport (IN) Press, pg. 9, col. 4 ad:
Cocktail Sausage or Cocktail Weiners, each 22c
(Schmidt’s Market—ed.)
   
Google Books
Eat—and reduce!
By Victor Hugo Lindlahr
Published by Prentice-Hall
1939
Pg. 80:
Consider the little cocktail frankfurters, for example, those tiny tempters-on-a-toothpick. They may seem “too small to count,” but each of these tasty…
 
24 April 1953, Panama (FL) City News, pg. 5, col. 5 ad:
HERMAN ORANGE BAND
Cocktail Weenies
1/2 lb. pkg.
(A&P—ed.)
 
23 January 1963, Logansport (IN) Pharos-Tribune, pg. 12, col. 6 ad:
Sinai Cocktail Wienies
(Kraut’s—ed.)