In a small bowl, soak lady's finger in egg for 5 to 10 minutes. In a medium bowl, combine cornmeal, salt and pepper.
Heat oil in a large frying pan over medium-high heat. Coat lady's finger in the cornmeal mixture, coating evenly. Carefully place the veg in hot oil; stir continuously. Reduce heat to medium when veg first starts to brown, and cook until golden. Drain on kitchen roll.