Prep the Oreos: Lay out your cookies on a tray. Spread a small dollop of Nutella (about 1/2 to 3/4 teaspoon) on one Oreo, then gently press a second Oreo on top to make a sandwich.
Don’t overfill or the Nutella will squish out while frying.
Make the batter: In a bowl, whisk flour, baking powder, sugar, and salt. In another bowl, whisk milk, egg, and vanilla. Add the wet to the dry and whisk until smooth.
The batter should be slightly thick, like pancake batter. If it’s too thick to coat, add a splash of milk.
Heat the oil: Pour oil into a heavy pot and heat to 350–360°F (175–182°C). Use a thermometer if you have one; steady heat is key for crisp outsides and melty centers.
Batter the sandwiches: Use tongs or a fork to dip each Oreo sandwich into the batter, turning to coat completely.
Let the excess drip off so you don’t get heavy clumps in the oil.
Fry in batches: Carefully lower 3–4 battered Oreos into the hot oil. Fry for 60–90 seconds per side, turning once, until puffed and golden. Avoid crowding the pot; it drops the oil temperature and makes them greasy.
Drain and dust: Transfer to a wire rack set over a sheet pan or to a plate lined with paper towels.
While warm, dust with powdered sugar if you like.
Serve immediately: These are best hot. Drizzle with melted chocolate or caramel, sprinkle with crushed hazelnuts, or plate with a scoop of vanilla ice cream.