All oil will burns you just have to be care and not let it come in contact with the flames.
Deep-Frying & Pan-Cooking
Requires a cooking oil that has both a high smoking point and a low percentage of saturated fat. Good candidates for both safety and health include peanut, canola, safflower, corn and sunflower oils. Cubed fish or fillets are better suited to this method than whole fish or thick steaks. Dip the fish in your chosen liquid batter or egg-flour combination before carefully adding it to the hot oil. Use a thermometer to determine when the oil is at 375 F.
Here is a site for cooking fish.