Combine milk, egg, vanilla in a large bowl. In a separate bowl, combine flour, salt, baking soda, and sugar and gradually add to wet ingredients. Beat with a mixer until a smooth batter forms. Fold in melted butter.
Pour batter into a funnel or squeeze bottle while using your index finger to stop the flow of the batter. Bring the funnel over the hot oil and release your finger to start a stream of batter while moving the funnel in a circular motion to create spiral-like shapes. Fry for 2 to 3 minutes until golden brown and slightly puffed.
