Preheat oven to 375.
Lightly grease two baking sheets with baking spray; set aside.
In a medium-size bowl whisk together the egg whites, sugar, canola oil, melted butter, and vanilla. Whisk until thoroughly combined.
Add in flour and continue to whisk until smooth, and no lumps appear.
Spoon 4 to 5 mounds of batter onto each baking sheet, using 3 teaspoons of batter for each.
With the back of the spoon, spread each cookie to about 4-inch diameter.
Space the cookies at least 2 inches apart.
Bake for 7 to 8 minutes, or until edges begin to brown.
Using an offset spatula, loosen cookies from baking sheet and shape into tube form. You can use a round metal utensil and wrap the cookies around that.
Set cookies seam-side down and let cool.