Drain the oysters, reserving 1/4 cup of the liquid. Pat the oysters dry.
In a bowl, mix together the egg, buttermilk and reserved oyster liquid. In another bowl or a plate, stir together the crushed saltines and the cornmeal. Add to both the egg mixture and the breading mixture a sprinkle of salt, black pepper and cayenne, to taste.
In batches, dip the oysters into the breading, then into the eggs and then back into the breading again. Place breaded oysters on a large plate or sheet. Repeat until all the oysters are coated.
In a large, heavy skillet heat 1/2 inch of oil on medium heat until it reaches 350 degrees. Cook the oysters for 2 to 3 minutes, turning once, until the fried oysters are light brown. Depending on the size of your skillet, you will probably have to do in several batches. Drain on paper towels.
To make the chipotle-lime dipping sauce, mix together the finely chopped chipotle, adobo sauce, mayonnaise, cilantro lime juice, and cumin. Taste and add salt, and adjust seasonings.
Serve the oysters with the sauce and sliced limes.