I am well aware that this thread is old, but in case anyone (like me) googled 'Windows phone otg' and found this thread, I'll save you the hassle of going through Microsoft's suggestion forum. This is the current status on this question:
In Windows 10, Microsoft is introducing support for USB Dual Role. USB Dual Role refers to the ability of a system to behave as a USB Device or a USB Host. This is a really exciting feature as it adds the ability to use your USB devices with your Mobile phone for the first time ever in Windows!
Please note, this feature will only be available on new Windows 10 devices that support USB Dual Role. This is because of the hardware changes required for the USB port to support device enumeration. While there are devices in the market today that have USB Dual Role capable controllers, the platforms were not designed to support USB Dual Role. New hardware may advertise that they are Dual Role capable.
Meaning it will be supported, but only in new Windows 10 phones. That should rule out any chances of ever getting USB OTG support on our current Lumia phones...
To read the whole blog post where I found this info, click here.