In a small bowl, combine the mayo, ketchup, Worcestershire sauce, horseradish, paprika, garlic powder, onion powder, oregano, salt, and pepper. Cover and place in the fridge.
Preheat the air fryer to 350 degrees F. Cut the onion in half, leaving the root end intact. Cut each half into 3 wedges, then cut the root end off. Separate each wedge into petals and set aside.
In a small bowl, beat the egg and milk. In a large resealable bag, combine the flour, salt, pepper, cayenne pepper, paprika, garlic powder, onion powder, and baking powder. Add the onions to the bag, seal, and shake to coat. Shake off the excess flour and transfer the petals to the egg mixture. Return to the flour mixture, shake to coat, and place the petals in the air fryer.
Generously coat the onions with spray oil; there should be no visible dry flour. Cook at 350 degrees F for 5 minutes, flip the petals, spray with oil again, ensuring there’s no dry flour, and cook for another 5 minutes. Finally, flip the onions once more and cook for 5 minutes. Serve with sauce.
