In a small bowl, combine water, milk, yeast, and sugar. Let it sit for about 10 minutes or until frothy.
In another bowl, pour in the flour and make a well in the middle. Pour in butter, sugar, salt, vanilla and egg. Mix everything together until the dough is smooth. Knead for about 5 minutes and set the dough in a greased bowl. Cover with a towel and set aside for about an hour, or until the dough has doubled in size.
After one hour, turn on your and preheat to 450 degrees F. Pour 1L of vegetable oil into a cast iron pan and place on the grates of your Grill. Keep your flame broiler closed so as to prevent grease flareups. Preheat the oil so that it is 350 degrees F.
While you're waiting for the oil to heat up, punch down the dough and separate into 8 small balls. Shape each piece of dough into a flat circle. Fry the dough in the preheated oil for about 1 minute per side, or until the dough is golden brown.
Sprinkle with cinnamon sugar immediately, or top with your desired toppings. Enjoy!