Wipe off each mushroom with a paper towel. Don't wash them.
Set up a breading station. In one bowl, combine flour with 1 tablespoon Old Bay. In a second bowl, add just the egg. In the third bowl, combine the bread crumbs with 1 tablespoon Old Bay. Line up the 3 bowls in this order.
Fill a large pot or dutch oven with oil so that it's at least 3 inches deep. Make sure the oil stops at least 3 inches before the top of the pan to ensure it doesn't bubble over. Use a thermometer and heat the oil to 350 degrees F.
While the oil is heating up, bread the mushrooms. Start by dipping them in the flour, then the egg, then the breadcrumbs.
Once the oil reaches 350 degrees F and the mushrooms are all breaded, carefully lower them into the oil and fry until golden brown. Try to maintain the temperature of the oil during the process.
Allow to drain briefly on a paper towel. Serve immediately with the Sriracha mayo.