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In a bowl, stir together the thickened or Greek-style yogurt, mayonnaise, celery, scallion and lemon juice. Fold in the lobster meat and season, to taste, with salt and pepper. Chill until ready to use. Just before serving, open the hot dog buns and brush the inside with olive oil. Heat a grill pan over moderately high heat and grill the bread, cut side down, until toasted, about 3 minutes. Fill each with 3/4 cup of the lobster mixture and serve immediately.