Preheat oven to 375°F Line baking sheet with foil and spray with cooking oil. Crumple aluminum foil into a log shape that fits lengthwise into baking sheet.
Remove drumsticks from freezer (they should be partially frozen, not hard). Prepare chicken by Frenching the bone.
Beat egg and milk together in a bowl. Stir paprika, cayenne, chili powder, salt, pepper, bread crumbs and cheese together in 9-inch pie plate. Dip chicken into egg mixture and bread chicken in bread crumb mixture, patting to coat evenly.
Place chicken on baking sheet with spatula; prop bone sections up on aluminum foil log. Pull slices apart slightly to form a claw shape. Chill 30 minutes to set crumb coating. Bake 35 to 40 minutes, until chicken is 180°F Lift chicken claws to a platter with spatula. Serve with Swamp Dip.
To make swamp dip: Combine mayonnaise and salsa in small bowl. Serve in a hollowed-out tomato or mini pumpkin shell.