1.
Heat oil in deep fryer to 360 degrees F.
2.
To make the mayonnaise dip, combine mayo, paprika, lemon juice, and horseradish. Stir and chill until ready to serve.
3.
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.
4.
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.
5.
Drop each one into deep fryer and cook until coating is a golden brown color. Remove from the oil and drain on paper towels.
6.
Load a plate with your mini corn dogs and spoon a side of the hot mayo. Grab 'em, they're going to go quick!