Remove rolls from pan and thaw in microwave for 1 minute on 50 percent power. Heat oil in a saucepan to about 220 degrees. Fry one roll at a time until golden brown, about 1-2 minutes on each side. Remove from oil to drain.
Mix cream cheese frosting and Nutella until thoroughly combined. Place in a frosting gun or pastry bag and inject into each roll. Sprinkle with powdered sugar.