Warm up the frying oil in a deep fryer or pot on the stove to 375 degrees Fahrenheit.
Mix together the vegetable oil, egg, and milk in a bowl.
Add in the pancake mix and mix until smooth.
Take the cookies and dip them into the batter one at a time. Place them into the hot oil and just fry a few at a time.
Fry the cookies in the oil until they are golden brown, which should only take around 2 minutes. Adjust the heat as necessary if you find that the cookies are burning or not cooking quickly enough. Be sure to drain the excess oil off of the Oreos after they come out of the oil.