Heat oil in deep fryer or heavy skillet to 375°F.
Grill chorizo sausages according to the directions on the package.
In a bowl, combine cornmeal, flour, sugar, baking powder, salt and pepper. Stir in egg and milk.
Slide each chorizo sausage onto a corn dog stick.
Transfer corn dog batter to a tall glass and dip the sausages one by one into the batter.
Fry corn dogs for 3 minutes or until golden brown.
Drain corn dogs on paper towels, brush with mayonnaise, sprinkle with cotija cheese and top with chili powder and cilantro. Squeeze lime over corn dogs and serve immediately.