The different styles of zeppole all have a common origin, I think. They are just the different mutations a traditional feast day treat has taken, first in Italy and then beyond. The association of zeppole with St. Joseph's Day goes back at least to the 19th century, I believe, in Naples; while other areas of Italy might call the same or similar little cakes sfingi or sfinci and so on. Fried or baked, filled or not, these are really variations on the common theme. It's true that here in RI (as in some other parts of the country) one still commonly associates zeppole with St. Joseph (though they are sometimes available at other times), the thin fritters that go locally by the name of "wandi" are from the same family and are a staple of area bakeries. Fried dough is indeed a universally loved treat!
A picture of the filled, cream puff-style zeppoli (from Chicago, I believe):