In a large bowl, combine the flour, sugar, salt, and dry yeast.
Pour the warm milk into the dry ingredients, then add the egg and melted butter.
Mix the ingredients together, then knead the dough for 8-10 minutes until it becomes elastic and smooth.
Cover the dough and let it rise in a warm place for about 1 hour, or until it has doubled in size.
On a lightly floured surface, roll out the dough to about 1 cm thickness. Use a glass or doughnut cutter to cut out circles.
Place a pepperoni slice, a small amount of mozzarella, and a little tomato sauce in the center of each dough circle. Sprinkle with oregano and garlic powder.
Fold the dough in half, and gently press the edges together to seal the filling inside.
In a large pot, heat the oil to approximately 340°F (170°C). Test the oil by dropping in a small piece of dough: if it immediately rises to the surface and gently sizzles, the oil is ready.
Fry the filled doughnuts for 2-3 minutes on each side, until golden brown. Use a slotted spoon to remove them, and place them on paper towels to drain excess oil.
Serve warm, with fresh tomato sauce or extra cheese on top.
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