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Heat a straight-sided 10-inch heavy-bottomed skillet over medium-high heat. Add the canola oil and heat until glossy. Add the celery, jalapenos, onions and bell peppers and cook until softened, about 3 minutes. Transfer the vegetables to a large bowl and let cool to room temperature, 10 to 12 minutes. Wipe out the skillet and set aside.
Add the crabmeat, 1 1/2 cups of the breadcrumbs, the egg and 1/2 cup of the chili mayonnaise to the cooled vegetables. Sprinkle with salt and black pepper and stir to combine. Place the remaining 2 1/2 cups breadcrumbs in a shallow bowl and set aside. Shape the crab mixture into bite-size (about 1 1/2 tablespoons) croquettes, 25 to 30 total. Dredge each croquette in the breadcrumbs, turning to coat. Arrange the croquettes on a parchment-lined baking sheet, cover and refrigerate for at least 1 hour and up to 8 hours.
Heat 1/4 inch canola oil in the same heavy-bottomed skillet over medium-high heat. Working in batches, cook the croquettes until golden brown and cooked through, turning once, 2 to 3 minutes. Transfer to a serving platter and sprinkle with salt and black pepper. Serve with the remaining chili mayonnaise.