Line a baking sheet with parchment paper. In a medium saucepan, combine the water, 2 tablespoons oil, granulated sugar, and salt. Bring to a boil and remove from the heat. Stir in the flour rapidly, until the mixture forms a ball. Transfer to a food processor, add the egg, and process until smooth.
Put enough oil in a deep fryer or a large saucepan to reach a depth of 1 inch. Heat until a piece of the dough dropped into the oil turns golden after 30 seconds (375° to 400ºF on a deep-fat thermometer).
Meanwhile, place the dough in a plastic piping bag or a ziplock bag with a corner snipped off and pipe 4-inch sausages of dough onto the baking sheet.
Gently transfer the dough to the oil in batches using a large spatula or slotted spoon. Fry until golden brown, about 2 minutes. Drain on paper towels and place on the baking sheet. Repeat until all the dough is used.
Mix together the powdered sugar and cinnamon in a small bowl. With a small sifter, sift the sugar mixture over the warm churros. Serve warm.