unsaturated oils/fats are more easily broken down than saturated fats. That's why saturated fats are less useful to the body.
Fish oils contain unsaturated carbon bonds at alpha 3, 6 and 9 positions if we are talking chemistry (or omega 3,6,9 by nutritionists). If you fry in an oil rich in unsaturated fatty acid esters (like rape seed oil) any losses from the fish are more than compensated for by the oil.
