To make the salsa verde mayonnaise, put the parsley, mint, capers, anchovy and garlic into a pestle and mortar (or food processor) and grind or pulse into a crunky paste. Stir in the Dijon mustard, lemon juice and mayonnaise, then season and set aside in fridge.
Heat oil in a wok, or deep fryer. Place whitebait in a bowl and coat with the polenta. Lower whitebait into the oil, and cook in batches for 1 to 2 minutes until golden. Drain on paper towel. Serve immediately with salsa verde mayonnaise.