Peanut oil is monounsaturated and has a large molecule. This large molecule(like lard which also has a large molecule) will not easily pass into the bird being cooked. That is a big reason why they are not greasy when cooked this way.
The same cannot be said for ordinary vegetable oil of the polyunsaturated variety which soaks into the cooked object.
Very interesting - thanks for the chemistry lesson (seriously).