An anaphylactic reaction can kill you. Skip the fried bees. Have the Poodle Gumbo instead. If you do not have an Epi-Pen, ask your doctor for one when you go for your pre-trip recommended immunizations, and keep it with you. Remember, should you need the Epi-Pen, it is only a temporary solution. You will still need to go to a hospital for definitive treatment.
As best as I can determine, following consultation with one of my Allergy colleagues is that the venom allergens, being heat-sensitive, would likely be broken down by frying.
However, and this is a big however, a substance called phospholipase is heat stable and so could still, at least hypothetically, remain as an allergenically active protein, even after frying. His advice, that I myself would definitely take is, “That’s asking for trouble; I would avoid ingesting these.”
In a word, avoid eating fried bees, fried wasps or any creatures that might be even remotely related to them.
Good luck and enjoy your trip.