A person who for health reasons avoids eating fried foods. Can he make the minhag (custom) to eat a donut baked in the oven without oil on Chanuka?
R. Shlomo Zalman Auerbach has a novel interpretation of the custom to eat doughnuts (mentioned here). According to him, the point is to eat something which will entail reciting the beracha me'ein shalosh after-blessing, which references the altar in the temple, an important part of the Chanukah story.
So, if these baked doughnuts are made in a way that they would be considered pat haba'ah bekisanin, and you eat them in a non-meal context so that afterwards you recite al hamichya, one can argue that you are keeping (at least part of) the custom.