In a large bowl, combine flour, sugar, corn meal,baking powder,dry mustard, and salt.
Cut in shortening until mixture resembles fine crumbs.
In a blender, combine milk, blue cheese,and egg; cover and blend until almost smooth.
Add egg mixture to flour mixture along with bacon;mix well (batter will be thick).
Meanwhile, heat 1 inch of oil in a heavy 10 inch skillet ovre medium heat to 365°F (should take about 15 minutes).
Insert skewers into ends of franks. Holding onto skewers, hold franks over bowl of cornmeal mixture. Spoon cornmeal mixture on franks and slightly spread to completely cover. Place coated franks, 3 or 4 at a time, on their sides in hot oil.
Turn franks with tongs after about 10 seconds of cooking to prevent batter from sliding off.
Cook for 2 to 3 minutes more or until golden brown, turning to brown evenly.
Remove and drain on a baking sheet lined with paper towels.
Keep warm in a 200°F oven while frying remaining franks.
Serve warm with Blue Cheese Dip.
BLUE CHEESE DIP.
In a medium bowl combine mayonnaise, sour cream, blue cheese, Worcestershire sauce, and ground black pepper.