I made a baking corn dog batter (cornmeal muffins with hot dogs spaced out in a glass baking pan) a long time ago, and it turned out well, with one minor glitch. The glitch was that the batter easily fell off the hot dogs. If I blend the cornmeal flour into a fine powder (similar to what you would do with eggshells for your tomato plants) will it be able to grab onto the hot dogs better so that they can be more like a corn dog cake dog?
I'm not sure about blending the cornmeal, though I would be interested to hear if it works, but if all you want is to try and keep the batter from falling off, you might try changing the hotdogs instead. Hotdogs have a smooth texture, there's not a lot for the batter to grip onto. You might try mechanically roughening the surface, using crisscross scratches or cuts, feathering cuts [as in kindling] on the outside, or something like that to give the batter some texture to hold on to. Or cutting the hotdogs into chunks, so the batter can surround and more easily lift the smaller and lighter pieces - and it might be easier to portion and serve your corn dog cake.
Have you considered a thicker batter and/or setting/freezing the corndog prior to baking? I expect the oils and liquids from the hotdog are creating a non-stick coating causing the batter to slide before it has a chance to cook.
Maybe you could make a cornmeal based dough that you can wrap around the hotdog. It wouldn't be the original corndog, but will have a better chance of hugging your dog better.
In specific answer to your question, yes a finer blend of the cornmeal would reduce any weight for it to slide off, but it should be better for the batter to harden/set up before baking (presuming it is a thick batter). As you don't have the instant direct heat used when frying in hot oil.