Peel onion and cut into 1/4-inch slices, separating rings.
In a medium-size bowl, combine flour, cornmeal, lime zest, baking powder, baking soda, salt and cayenne pepper.
In a large bowl, combine the egg and buttermilk and stir. Add the flour mixture, and whisk until blended.
Heat oil over medium-high heat in a heavy fry pan until temperature reaches 375°F.
Dip onion rings into batter and carefully put into hot oil. Fry until golden brown, about 2 minutes, turning after one minute. Remove with fork and place on paper towels to absorb oil. Serve with Lime Dipping Sauce.
Lime Dipping Sauce: Blend ingredients well. Make at least 30 minutes before serving.