Preheat the oven to 400°F (200°C) and line a large baking sheet with parchment paper.

Peel the onion and cut off about half an inch from the top. Make 12 to 16 vertical cuts around the onion, keeping the root intact.

In a bowl, whisk together flour, paprika, garlic powder, cayenne, salt, and black pepper until well-blended.

In a separate bowl, mix milk and egg until fully combined.

Dip the onion into the wet mixture, letting excess drip off, then dredge it in the flour mixture for even coating.

Place the coated onion on the baking sheet, drizzle with olive oil, and bake for 30-40 minutes until golden brown.

While baking, combine mayonnaise, ketchup, and horseradish in a bowl for the dipping sauce.

Once golden and crispy, let the onion cool slightly, then serve with the dipping sauce.