Preheat vegetable oil in a large pot over mediumhigh heat. Soak skewers in water about 30 minutes.
For the cajun marinade:
Combine marinade ingredients in a small bowl; set aside.
For the hush puppy batter:
Make the hush puppy batter: Whisk cornmeal, flour, sugar, salt, pepper, egg, buttermilk, and scallions in a large bowl; batter should be thick.
Once oil reaches 350degreesF, carefully drop large (2-ounce) spoonfuls of batter into pot and fry about 5 minutes. (Work in batches.) Drain hush puppies on paper towels and season with additional salt and pepper to taste.
For the dipping sauce:
While hush puppies are draining, whisk hot sauce and butter in a small bowl.
Slide 1 hush puppy onto a skewer, followed by 1 shrimp, 1 okra pod, 1 slice sausage, 1 potato, another piece of shrimp, and another hush puppy; repeat with remaining skewers and ingredients. Brush liberally with Cajun marinade.
Heat grill or grill pan to medium-high and brush with olive oil. Grill skewers 4 to 5 minutes per side. Serve warm, accompanied by dipping sauce.