According to the Italian tradition, panzerotti is strictly deep-fried. But baking panzerotti is still a delicious and possible way of cooking them . While this option might be more diet-friendly, there are a few crucial differences between fried and baked panzerotti: As for texture, a baked panzerotti will lose its characteristic fluffiness and elasticity. The result will be similar to a classic pizza or bread dough, which is a bit drier. Speaking of the taste, you should remember that Italians use high-quality oils even for deep-frying. Thus, while you might save some calories, you’re going to miss out on the earthy flavors of flour and oil that make panzerotti so heavenly.