In a medium bowl whisk together the oil, egg, and milk.
Stir in the pancake mix continuing to whisk until there are no lumps.
To Cook
Place the oil in a deep fryer oil and heat it to 350 degrees F (180 degrees C).
When the oil is at temperature, dip the Oreo in the pancake batter then gently place it in the oil. Only cook 3 or 4 cookies at a time otherwise too much heat will be taken from the oil.
When golden brown all over (you may need to flip partway through cooking) remove the cookies from the oil and drain on a cooling rack or paper towel.
Serve while still warm with a last-minute dusting of powdered sugar.