Using a countertop mixer, add milk, olive oil, yeast, brown sugar and cornmeal. Mix on low speed until well combined.
Add flour, salt, baking powder and chives. Mix on low speed until well combined.
Increase speed to medium and mix for 4-5 minutes, or until a smooth dough forms. (Note: If dough is sticky, just add more flour 1 Tbsp at a time until dough pulls away from side of mixing bowl.)
Transfer dough into a large, oiled bowl. Cover and place in a warm location for 45 minutes, or until dough has doubled in size.
Meanwhile, using either olive oil or cooking spray, lightly grease a medium skillet. Place sausage in skillet and cook over medium-high heat for 5-6 minutes, turning occasionally.
Add ½ cup of water to skillet, cover and reduce heat to simmer. Cook for 12-13 minutes, or until sausages are fully cooked. Remove from skillet and set aside to cool.
Once cooled, insert wooden skewer into sausage; set aside.
Preheat oven to 450°F. Spray a parchment-lined sheet pan with baking spray; set aside.
Turn dough out onto lightly-floured countertop. Divide dough into 10 pieces (~2 oz. each).
Working with one piece of dough at a time, roll dough into a 10” long piece. Wrap two pieces of dough around each of the skewered sausages, pinching edges lightly to seal dough. Place on prepared sheet pan. Repeat with remaining dough.
In a small dish, whisk together egg with 1 Tbsp of water. Brush tops of corndogs with the egg wash.
Bake at 450°F for 13-15 minutes, or until golden brown in color.
Serve with mustard or Cajun dipping sauce.
For the Cajun Dipping Sauce
Using a small bowl, combine all ingredients and whisk together until well combined. (Tip: This Dipping Sauce will taste better if you make it earlier in the day and then cover it and place it in the refrigerator for a couple of hours.)