In a medium bowl, combine flour, cornmeal, sugar, baking powder, dry mustard, and salt. Mix well.
Add the shortening and cut it into the mixture using fork until the mixture becomes a fine crumble.
In a small bowl, mix together egg and milk. Pour this mixture into the flour mixture. Stir until smooth (batter will be thick).
Pour enough oil into a deep heavy skillet to cover the hot dogs completely. Heat the oil to 365°F.
Insert a wooden stick in one end of each hot dog. Dip the hot dog into the batter to coat. Place the hot dogs into the hot oil 1 or 2 at a time. Cook the hot dogs in the oil for 7-10 minutes, turning occasionally. The hot dogs are done with the batter is a dark golden brown color.
Remove the pronto pup from the oil and set on a paper towel to catch any excess oil.
Serve immediately topped with ketchup and/or mustard.