Heat 3 inches olive oil in deep frying pan to 375 degrees.
Roll dough into 4 10-inch circles and fry, one at a time, until golden brown, about 6 to 7 minutes, to create the tarongia. Drain each tarongia on paper towels and set aside.
In a medium saute pan, heat 2 tablespoons virgin olive oil until just smoking and add sliced fennel bulb. Cook until soft and golden brown, stirring regularly, about 8 to 10 minutes. Drain fennel and allow to cool. Mix in fennel fronds and set aside.
Spread 1/4 fennel mixture on top of each tarongia and sprinkle each with 2 tablespoons Caciocavallo. Place 4 anchovies on each tarongia and sprinkle with remaining Caciocavallo. Broil each tarongia until light golden brown and serve warm.