When I was on Android I was able to check whether my device supports USB OTG or not using this procedure. I have heard that Windows 10 Mobile supports OTG but neither there is any official content about that nor I could find the list of Handsets that support OTG. So is there any way to check whether my phone is OTG compatible or not? My phone is 535 DS running W10M (14393.693).
No. Lumia 535 dual Sim phone does not support OTG functionality. Me too have that phone. And can confirm that it can't support.
And to check the OTG support there isn't any app available in store which checks for OTG support in phone. Only via official documention of phone you check does a phone support OTG or not.