I must admit always thought they were Steam cooked. The ones i buy (Just Supermarket own brand) i would be very surprised if they were fried. You cant really fry a fish and put it in brine without it having any noticeable change of color.
Also i checked the ingredients and:
INGREDIENTS: Sardines (Fish), Water, Salt.
Even the ones packed in olive oil - this was John West:
Sardines, Olive Oil, Salt
I cant imagine they have been deep fried in olive oil and because there would be oil in and on the fish before packing it would have to be listed as an ingredient.
I can imagine if you buy branded products made else where you might risk it, but i would guess your pretty safe sticking to UK supermarket or market leading brands as they will likely all be made in the same factory by the same method.