1. Cut the onion: Peel the onion and cut into it to create petals, being careful not to cut all the way through.
2. Prepare the batter: In a bowl, mix flour, paprika, cayenne, garlic powder, oregano, and thyme. In another bowl, combine milk and beaten egg.
3. Coat the onion: Dip the onion into the flour mixture, then into the milk mixture, and back into the flour mixture.
4. Fry the onion: Heat oil in a deep fryer to 375°F. Fry the onion until golden brown, about 10 minutes. Drain on paper towels.
5. Make the dipping sauce: In a bowl, combine mayonnaise, ketchup, horseradish, paprika, salt, oregano, black pepper, and cayenne pepper.
6. Serve: Place the blooming onion on a plate and serve with the dipping sauce.