Fish fry refers both to the meal and the popular Friday night tradition in Wisconsin. The fish is battered or breaded, then deep-fried, which is the fastest way to cook large quantities of fish. The Friday night event dates back to the medieval Roman Catholic times.
Friday is connected to the crucifixion of Christ, so the day signifies abstinence - in this case, from meat, but fish got a free pass since it is considered that it doesn't come from a warm-blooded creature. The fish fry practice came from Irish, Polish, and German Catholic immigrants who had settled in Wisconsin.