Pat dry your pickles.
Lightly whisk the egg and 1 tablespoon milk in a small bowl. Set aside.
Prepare cornmeal mixture - add the pepper, salt, and cayenne to the cornmeal in it's own bowl.
Dip each chip into the egg and milk mixture (let excess run off) and then coat in the cornmeal mixture.
In the meantime, pour enough vegetable oil into a heavy skillet to cover it in about ½ inch of oil.
Heat the oil on med high until it is shimmering.
Drop each pickle into the oil and turn over after about 20-30 seconds. You may need to keep turning the pickles a few times until both sides are golden brown.
Place the fried pickles onto a paper towel lined plate to absorb excess oil.