Step 1: Make the dip first; combine mayo, paprika, lemon juice, and horseradish. Stir and chill until ready to serve. Heat vegetable oil in deep fryer to 360 degrees F.
Step 2: In a bowl, mix together flour, cornmeal, baking powder, sugar, salt, milk, cayenne, jalapeno, and onion. After mixing, add shortening and mix well. Gently stir in egg until mixture is smooth.
Step 3: Stick a toothpick into the end of each wiener, leaving about one inch of toothpick exposed. Dip each weiner into the corn batter until it is evenly covered.
Step 4: Drop each one into deep fryer and cook until coating is a golden brown color. Remove from the oil and drain on paper towels.
Step 5: Load a plate with your mini corn dogs and spoon a side of the hot mayo. Watch'em fly off the plate!
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