Sonhos (Dreams) are fried pastry. They are made of basic choux paste dough which uses no yeast, or baking powder. The dough is dropped by tablespoons into hot oil and then fried in round doughnut shapes. They are rolled in a dusting of sugar and cinnamon.
The terms “Filhóses” and “Malasadas” are sometimes used interchangeably, and sometimes one refers to doughnuts while the other refers to fried dough as photo above, without a hole in the center.
Filhós, is a fried pasty made of risen flour dough and always referred to as Filhós in the mainland of Portugal. However some of the Islands of Azores and Madeira also call them Filhós. It may get confusing, but it seems that what you call them depends on what region of Portugal your family is from and where you live now.
Malasadas are typically “Portuguese donuts”, a ball of fried yeast dough without a hole in the middle like regular donuts. After frying, they are rolled in confectioners sugar and sometimes filled with cream. This is an example of the famous Malasadas from Leonards Bakery in Honolulu, Hawaii which is famous for their Malasadas. There are many shops throughout Hawaii that feature them as well. This tradition was brought to Hawaii from the Portuguese immigrants from Madeira, Portugal.
Coscorões are fried dough often referred to as Angel wings, and similar to filhos. However, no yeast or other leavening agents are used to make the dough. They are usually made during the Christmas season.