In a large bowl, mix together the flour, sugar, salt, and yeast. Whisk in the milk, vanilla, and water until smooth.
Place a plastic cover over the bowl and leave it for fifteen minutes, or until it has doubled in size.
After the dough has almost doubled in size, preheat two inches of vegetable oil in a deep fryer or big skillet over high heat until the oil reaches 375 degrees F.
Balls of dough should be dropped into the heated oil using a medium cookie scoop sprayed with pan spray. Cook for about 4 minutes, or until golden brown on both sides. Take care not to pack the pan too full, otherwise the oil's temperature may decrease. To ensure that the zeppoles cook evenly throughout, stir them often with a metal spider while they are frying.
To ensure that the oil temperature stays between 375 and 380 degrees Fahrenheit, you can use an oil thermometer or a candy thermometer.
After the zeppoles are cooked through, take them from the oil and place them on a baking sheet lined with paper towels using the spider.
Gently place the heated zeppole into a paper bag, then sprinkle a heaping tablespoon of powdered sugar or cinnamon sugar on top. Once the zeppoles are all covered with sugar, close the bag and shake. Warm up and serve.