Peel onions and slice into rounds 1/4-inch thick. Separate rings; soak in milk for 15 minutes. Meanwhile, mix cornmeal, flour, salt, pepper, melted shortening, egg, and 1 2/3 cups milk to make the batter.
Drain onion rings; dip in batter then in flour. Fry onion rings in batches in deep fat at 370° to 375° for 2 to 3 minutes, or until golden brown.