Which oil is best for Zeppole?
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.