Mix cornmeal, salt and oregano in a shallow dish or on a piece of wax paper. Mix milk and egg in another shallow dish. Dip catfish nuggets into the milk mixture; then dredge in the cornmeal mixture, tossing to coat.
Fill a large skillet half full with vegetable oil, and heat to 350° F on a deep-frying thermometer. Add nuggets to the hot oil, and fry, working in batches, until golden brown, turning to cook evenly on all sides. Drain on paper towels. Serve immediately with Champagne Mustard Sauce for dipping.
Champagne Mustard Sauce:
In a small, heavy saucepan, mix sugar and mustard. Stir in vinegar and egg yolks. Cook over medium-low heat, stirring constantly with a wire whisk, for 10 minutes or until thickened. Remove from heat. Transfer to a small bowl, cover and refrigerate until chilled. Before serving, let stand at room temperature about 10 minutes.