How to cook fish bones(ideally without oil)?
If they are the bones of fatty, oily fish, the grilling would work, assuming there are still some scraps of meat/fat attached. This will achieve a crunchy texture. Your suggestion of cooking the fish in a pan, wrapped in foil, might also achieve similar results (again use an oily fish).

You could also simmer them in some sort of flavoured broth until they are very soft - I know of a few southeast asian recipes for fish that are slow-cooked in a salty broth for a very long time until the bones are the same texture as the meat and the fish can be eaten whole.

Frying is, in my eyes, the best option for taste and texture - it can be done in relatively little oil, and avoiding too much mess