Into an 8 by 8-inch casserole dish, beat together milk, egg, cayenne, and a splash of the pickle juice.
Combine the cornmeal, flour, paprika, salt, pepper, and dill into another baking dish.
Thoroughly dry the pickles with paper towels. Dredge first through the wet, then the dry ingredients. Gently place pickles into the deep-fryer in batches and fry until golden brown, about 1 1/2 to 2 minutes. Remove to a paper towel lined sheet tray and immediately season with salt.