Does frying in canola instead of shortening change the fry time? I had a bunch of canola oil and didn't want to go out and buy some shortening for a new recipe I found for beignets. The recipe called for heating 3-inches of shortening up to 370F to fry them in so I did the same with canola. 

The fry time was to be 3 minutes but the first few I tried were too doughy. The next few I did for 4 minutes and, again, too doughy. Even at 5 minutes the inside was too wet. They are to be served hot so letting them sit for long isn't really an option.

I kept a thermometer in the pot and maintained that 370F temp pretty well. Other than the doughy to wet inside, they puffed up nicely and had good flavor. 

So is there something I'm not aware of?
The type of fat you use makes no difference in cooking time, as long as you use a fat with a smoke point above that you want to cook at. There's a related question on the site about fats for deep frying which talks about the properties of different fats. Canola is absolutely fine to use instead of crisco or some other shortening. 

It sounds to me like you had the fat just where you needed to be, I think what went wrong is your dough. From what you describe it sounds like you may have had it too moist. Moisture is important in the dough as it's the conversion of water to steam that gives you the puff, but too much moisture means you will saturate it. Try a thicker dough.