I haven't got the finger food book so not sure about the foods that need to be fried, but if you make your own chicken nuggets they can be grilled or oven cooked. There is a fab recipe (simple too) on here for them from BEAR I think, will try and find it.
You can use the same recipe to make fishfingers in small bite size pieces which can be grilled/oven cooked too, just swap the chiken for fish (I use cod or salmon) with some potato once cooled and mashed together make into any shape you want and add breadcrumbs.
Pasta is a good finger food but not so nice frozen, but you can freeze sauces to add to it, just mix together and let your LO eat with fingers.
HTH will try to think of some more.
quick and easy chicken nuggets
Try this link for the nuggets.