Preheat the oil to 350°F.
Prepare a dredging station by combining the flour and seasonings in one bowl, and whisking together the eggs and milk in a separate bowl.
Dip the onions into the egg mixture, ensuring they are fully coated, then transfer them to the seasoned flour and toss to coat evenly.
Carefully place the battered onions into the hot oil and fry until golden brown.
In a separate bowl, mix together the sauce ingredients.
The sauce can be made ahead of time to allow the flavors to develop, or prepared just before serving.