Baking Soda + Oil at high temps
Baking soda is essentially sodium hydrogen carbonate, which should not be expected to react with oil because of its poor solubility. $\ce{NaHCO3}$ melts at 50 °C and starts to decompose slowly to sodium carbonate, carbon dioxide and water.

$$\ce{2NaHCO3 -&gt;~ Na2CO3 + H2O + CO2\uparrow}$$

By the release of carbon dioxide, $\ce{NaHCO3}$ acts as a raising agent when used in baking. Under the conditions of deep frying (150-200 °C), the decomposition is fast as the reaction is entropically favored (generation of gases). $\ce{CO2}$ and $\ce{H2O}$ escape from the baking mixture, leaving sodium carbonate behind. 

The ingestion of small amounts of $\ce{Na2CO3}$, which are generated from typically used amounts of baking soda, should not be a health problem. Acidic ingredients in the baking mixture will convert sodium carbonate into the sodium salts of the respective acids, carbon dioxide and water. Higher amounts of sodium carbonate, stemming from the use of too much baking soda, would cause an unpleasant metallic taste of the baked food. Sodium carbonate is actually used as a food additive (E 500) and in toothpastes as a foaming agent and abrasive.