Whisk milk and egg together in a large bowl. Pour cornmeal into another large bowl.
Dip squash, potatoes, tomatoes, okra, onion, and green bell pepper into milk mixture; press vegetables into cornmeal to coat.
Heat bacon grease in a large skillet over medium-high heat. Cook and stir vegetable mixture in hot grease until golden and tender, 15 to 25 minutes. Season with salt and black pepper.
