In small bowl, mix mustard and chiles; set aside.
In deep fat fryer or heavy saucepan, heat 3 inches oil to 375°F. In medium bowl, stir cornbread mixes, club soda and egg. Spoon mixture into tall narrow jar or glass. Insert sticks into hot dogs, leaving about 4 inches to hold. Roll hot dogs in flour; dip hot dogs into cornbread mixture, rolling to cover completely. Smooth batter with knife, if necessary.
Fry 2 to 3 corn dogs at a time in hot oil about 2 to 3 minutes or until golden brown. Drain on paper towels. Serve corn dogs with mustard.