Regardless of the oil you use, a gram of fat is a gram of fat and they are all equal in calories ( 9 calories per gram of fat ).
Canola oil can withstain high heat without breaking down and still retain their flavour. So Canola oil is great for frying and prolonged cooking with high heat
Olive oil tastes better, but will break down at high heat. That is why you see Olive oil used in salad mix, it is well known for its flavour.
Olive oil has higher content of monosaturated fat than canola oil, monosaturated fat is one that is healthy for you and your heart, followed by polysaturated fat , they both increase HDL - a form of good lipids/fat inside your body and decrease LDL - a bad form of lipid. It is LDL, triglycerides ( diet high in carbs are known to increase this nasty nasty) , saturated, and trans-fat ( found in those deep fries at fast food chain) high cholesterol that clog and damage your blood vessels.
If it is a one off, it would probably be fine, since you would worry more about putting dense calories into your body than bad fat into your bad, Fish has some of the healthiest and highest source of fat. Again, you probably wont clog your arteries, but you because of the extra calories put in your body, they will be stored as fat deposits.
I dont want to go into the entire lectures about dietary intake and such, but in your case, I would stick to canola oil, and follow the advice given by Iris above. You can also use a brush to constantly brush the fish will thin layers of oil every time you turn sides on the pan. If it gets too tedious for you, either get your oven cooked, or get on fish oil supplementation and reduce the manual work to once and twice a week.
Yeah my, saturated fat is needed, limited amount, 20g a day for 2000kcal diet person. It's needed for steroids synthesis, but most of what humans eat these days way exceed the amount.