Here is an update to my original post. One solution is to get cheap OTG cable and shorten it, if you dare to. Another solution, just to get OTG connector
Here is the one I got for $2.99 off ebay. Works perfectly, and doesn't take too much room. Due to angled nature of it, nothing sticks out from the phone.
Ok, now let's the pictures do the talking!
As you can see this connector is 1/3 of original OTG cable, and about 1/2 of my modified short version of it.