Add enough oil to frying pan so it is at least 1 inch in height. Turn to medium heat.
Combine flour, baking powder and salt in a small bowl and whisk. Set aside. Take a large bowl, whisk together milk, buttermilk, sugar and melted butter.
Add in dry ingredients and mix with a wooden spoon until just combined with a few lumps remaining.
Take a chunk of dough and roll into a ball about 1 1/2 inches in diameter. Gently place dough ball into oil and fry until golden brown on all sides, about 2-3 minutes. Make sure to turn donuts on other side so all sides fry evenly.
Remove donut holes and place on a plate lined with paper towel. Repeat with remaining dough.
While donuts are cooling, making glaze in a small bowl. If glaze is too thick add a little bit more milk. Dip donuts in glaze. It helps to use a spoon to pour glaze on donuts.
Remove donuts from glaze and place on wire rack with paper towel underneath to catch the glaze drippings. Take some crushed oreos and sprinkle on top of each donut hole.