In a bowl, combine flour, sugar, salt, and yeast. Whisk in warm milk and egg until a sticky dough forms, then cover and let it rise in a warm place for about 30 minutes.

Cut mozzarella cheese into sticks and hot dogs in half. Carefully thread one piece of hot dog and one cheese stick onto each of the 8 skewers.

Once the dough has risen, divide it into 8 portions. Flatten each portion, then wrap it around a skewered hot dog and cheese, ensuring the filling is completely covered.

Roll each dough-covered skewer in panko breadcrumbs, pressing gently to adhere. Heat vegetable oil in a deep pot to 350°F (175°C) and fry the corn dogs until golden brown and crispy, about 3-5 minutes per batch.

Remove the fried corn dogs from the oil, drain them on paper towels, and immediately sprinkle with extra granulated sugar while still warm. Serve with your favorite dipping sauces.