Almost-Famous Bloomin' Onion

INGREDIENTS

• 2 tablespoons mayonnaise
• 1 tablespoon drained horseradish
• 1 teaspoon cayenne pepper
• 2 tablespoons sour cream
• 2 tablespoons paprika
• Kosher salt and freshly ground black pepper
• 2 large eggs
• 1/2 teaspoon Worcestershire sauce
• 1 cup whole milk
• Kosher salt
• 1/4 teaspoon paprika
• 1 1/2 teaspoons ketchup
• 1/2 teaspoon dried oregano
• 1/2 teaspoon dried thyme
• 1/2 teaspoon ground cumin
• 1 gallon soy or corn oil
• 2 1/2 cups all-purpose flour
• 1 large sweet onion, such as Vidalia (about 1 pound)
• Freshly ground black pepper
• Pinch of cayenne pepper