Yes at one time I worked at a place where there was a fryer next to our oven. I decided to try a fried calzone rather than the baked one we normally cooked. My biggest mistake was that I didnt get my seam as tight as I should have in one spot and I ended up with a leak, which bubbled cheese into the oil. Not a big deal, just messy and didnt look "good"
I thought it was pretty good for a novice attempt. When I built it I pushed my dough a touch thinner reasoning that the hot grease would cook the outside to fast for the inside. I wasn't far off the mark and my cheese was nicely melted. I cant remember what we heated the grease at, though it was for buffalo chicken wings, so I suspect it was around 375 or so.
The dough was really good that way. It was crisper than in the oven at first but then softened as it sat longer. It didn't seem as "heavy" as baked dough. IT was more airy. I dont know if anyone has has fry bread, but it was similar to that in texture & flavor. A slight, but tasty change to the oven baked. Just make sure you drain it well, especially if it springsa leak, as you will get oil inside the calzone.
