Preheat vegetable oil in a deep-fryer to 375 degrees F.
Slice the onions into 3/4-inch rings and separate. Add the buttermilk, hot sauce, and egg to a large casserole dish and whisk to combine. Stir in the onion slices and allow to soak for 3 to 5 minutes. Put the flour and cornmeal in a large brown paper bag and season with the season salt and cayenne. Add the onion rings, to the paper bag in batches, and shake until they are covered with the flour mixture. Make sure to get rid of the excess buttermilk before adding to the bag.
Add the onions in batches to the hot oil, being careful not to overcrowd the fryer. Fry until golden brown, about 2 minutes. Transfer to a serving platter and season with salt when they come out of the hot oil.