Heat oil in a deep-fryer to 350 F. Whisk together the egg and the milk in a medium sized bowl. In a separate bowl combine the flour, salt, peppers, oregano, thyme and cumin. Slice 1/2-an inch off the top of the onion and the bottom of the onion. Slice the onion in half, about 3/4-of ghe way down without slicing all the way through. Slice into quarters, then into 1/8s. Repeat this until you have cut the onion into 14 sections. Spread the "petals" of the onion apart and dip the onion in the milk mixture. Then coat it liberally with the dry ingredients. Separate the "petals" and sprinkle the dry coating between them. Place the battered onion in the hot oil and fry until golden brown, about 10 minutes. Remove to a paper towel lined sheet tray and season with salt and pepper.
Creamy Dill Sauce: In a small bowl, combine ingredients and whisk together. Season with salt and pepper, to taste. Serve with Fried Vidalia Onion.