Step 1: In a medium bowl, whisk together the flours, cornmeal, sugar, baking powder, dry mustard, and salt. Add the shortening and cut it into the flour mixture with a fork until it resembles fine crumbles.
Step 2: In a separate small bowl, whisk together the egg and milk.
Step 3: Pour the egg and milk mixture into the dry ingredients and stir until smooth.
Step 4: The batter should be thick.
Step 5: In a deep heavy skillet, or deep fryer pour enough oil to completely cover the hot dogs and heat to 365°F.
Step 6: Insert a wooden stick into one end of each hot dog.
Step 7: Dip each skewered hot dog into the batter, ensuring it's fully coated.
Step 8: Carefully place the hot dogs into the hot oil, one or two at a time to avoid overcrowding.
Step 9: Fry the hot dogs for 7-10 minutes, turning occasionally until the batter is a dark golden brown.
Step 10: Remove the Pronto Pups from the oil and drain on paper towels.
Step 11: Serve with mustard to taste.
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