Place the flour in a sided dish, the egg in a second side dish, and combine the bread crumbs, cornmeal, oregano, paprika and cayenne in a third. Coat the olives in flour, shaking off the excess. Coat in the egg mixture, ensuring they are evenly coated. Set in the cornmeal/crumb mixture, turning to coat and gently pressing the mixture on to help it adhere. Heat the oil for deep-frying to 325 degrees F. Fry the olives in batches until golden brown, about 2 to 3 minutes. Arrange on a platter and serve the tzatziki sauce alongside. Use toothpicks, for skewering the olives and dipping them into the sauce.