The healthiest oils to fry fish in are the extra virgin olive oil or Avocado oil.
I prefer to fry my fish in the extra virgin olive oil which is my main go to cooking oil to cook fish and other foods such as potatoes, french fries etc in.
The healthiest oil to me is the olive oil.
Canola Oil is also another good cooking oil to fry fish in if you don't like olive oil.
Canola oil is also another good healthy cooking oil that provides a great taste for most foods and not just fish.
I used to mainly use Canola oil for most of my fish cooking and potato cooking until I started using extra virgin olive oil which is what I mostly cook fish and other fried foods with now.