It could be said that Hotdog Guy's immunity to bullets gives him the greatest advantage over every other character, but I would argue that mastering the Way of Fire will keep you from ever needing to dodge bullets in the first place.

If you have any experience playing Maniac, you'll notice that vehicles tend to approach you.
All. The. time.
There are actually far more sources of explosions than bullets to worry about, and most of these will intentionally or accidentally ram into you at full speed.

The Hollywood Enhancer upgrade increases the size of (and previously, damage) of blast radii from cars, bombs, and rockets. A few points in this upgrade can be helpful, but the usefulness of this perk towards everyone *not* Yuri eventually falls off, proving to be annoying - then fatal.

Even while driving, Yuri's stolen rides will go from chipping paint to collapsing under the constant punishment of fireballs. Fortunately, his spacesuit remains an impervious shield against this damage.

Full briefing on the recommended weapons/perks available to Yuri:

Hollywood Enhancer - High Priority - This is going to be your bread and butter. The bigger the boom, the further away you will keep cops and soldiers. You're going to be trying to chain explosions together anyways, so buy at least one point each time you restart.

Alley Brawler - Low Priority - Speed hasn't yet been a big issue in my runs, and most of that time will be spent riding in cars to avoid bullets, so...'pace' yourself with this upgrade.

Psychopath - Medium Priority - Affects both weapons and explosions. Try to keep pushing this upgrade up to at least +50% in order to expedite blast chaining.

AK-47 - Medium Priority - Direct weapon upgrades are very expensive. Save your cash for global upgrades until you maximize Money Magnet and find yourself with extra to blow on the gun itself.

Most Wanted - High Priority - As you complete runs, new ones will have significantly longer survival times. Rather than increasing actual difficulty, you will simply experience waves over longer periods of time.

Money Magnet - High Priority - You should be investing in at least two points per run to ensure you're earning at a competitive rate. Later, you'll find that the larger collection radius will allow you to snag cash drops from destroyed aircraft.

As with the other characters, keep moving or you'll be hurt by flying cars or gunfire. In your case, however, through fire and flames you remain inexorable.

Find new vehicles to shoot on the run, and remember to keep dodging. I highly recommend against using the jetpack as a movement skill as it will make you a very easy target for helicopters early on.

Emergency and pursuit vehicles will always straight for the player, so be sure to train your gun on them quickly and sidestep if you can. They will often plow straight into a pile-up, allowing you to easily trigger a blast chain to clear the screen with higher upgrades.

Word of caution: stay focused on bullet trajectories. Increasing explosion size will mask the appearance of incoming fire. Stray bullets will not be completely preventable in your new cloud of shrapnel and cinders - I recommend open spaces or areas with gates.

Speaking of fencing and barricades, these are the second-best source of cash, and available over most of the map. Make an effort to detonate cars near them to collect from many posts at once.

Yuri's remarks about being 'The Best' are revealingly edgy, but true. I've told you all there is to know about playing this gun-slinging space man, and why his campaign is so enjoyable.

If you have any corrections or questions, let me know what you think.

Thank you!