Which oil is best for frying Italian doughnuts?
I've made thousands of Zeppole throughout my career.
Don't use olive oil, you'll impart the wrong flavour profile.
Veg/Canola/Peanut, or any other neutrally flavoured high-temp oil suitable for frying will work.
PERSONALLY, I prefer Zeppole and other choux paste products baked on a parchment sheet, with a light mist of cooking spray.