Preheat your oven to 400°F (200°C) and line a baking sheet with parchment paper, lightly greasing it with the avocado oil.
Pat the veggie sausages completely dry with a paper towel and insert a wooden skewer into the end of each link.
In a medium mixing bowl, whisk together the Greek yogurt and egg until the mixture is smooth and well combined.
Stir in the yellow cornmeal, coconut flour, garlic powder, smoked paprika, sea salt, and black pepper to create a thick, uniform batter.
Transfer the batter into a tall, narrow glass to make the dipping process easier and more even.
Dip each veggie sausage into the batter, rotating the skewer to ensure a thick coating covers the entire surface.
Carefully place the coated sausages onto the prepared baking sheet, ensuring they do not touch.
Bake for 15 to 18 minutes, turning the sausages halfway through the cooking time, until the crust is firm and golden brown.
Remove from the oven and let the veggie dogs rest for 2 minutes to allow the crust to set before serving.