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.