Do you mean the shape of the bun or the kind of bread? Kind of bread: because American bread sucks. Especially hot dog or burger buns.

The shape is a more interesting question, I feel.

It seems to me that you are talking mainly about southern Germany, because they call the buns 'Semmel'. In the north it’s more commonly called 'Brötchen', which are more elongated than the round Semmeln. Other regional names and variants exist, too. A Brötchen isn’t totally Form fitting like a hot dog bun is, either. My guess is that the bun exists more as a vehicle for the sausage as opposed to a real part of dish, like in a hot dog. Some people just eat a Bratwurst mit Senf with just a small piece of toast to hold it, some of them even discard the bread. Its all about the Wurst, baby. So why are the buns tasty themselves? Might be traditional German quality standards. Back when they still existed.