I’ve experimented with both canola and vegetable oil for frying these naturally leavened bomboloni (doughnuts), and much prefer vegetable between the two (but I will be using coconut oil from here on out, see Update below). Canola imparted a slightly odd flavor to my initial test batch and it has an off-putting smell to me. You will have to experiment with the frying temperature. At an oil temperature of 360-370°F (182-187°C) mine cook to a nice golden brown in 2.5 minutes per side.
Update: I recently tried frying with refined coconut oil (I purchased this tub of refined coconut oil, which should last quite a while (be sure to get refined oil as the smoke point is high enough for frying) and the results were very, very good. Because this oil is solid at room temperature, once the bomboloni cool, they become even crispier and have a little oily feeling to them. Additionally, when frying, the oil doesn’t give off unwanted smells in the kitchen. The resulting bomboloni tasted very similar to vegetable oil and did not have any coconut flavor to them.