Good question @mfg. I hope I can help a little bit. The basics behind the egg wash are to provide for a couple different thing. These being shine, crispness, and color.
Shine
The shine is primarily provided by the egg yolk. The higher concentration of yolk the more shine.
Crispness
This come from the egg whites. The whites make things a little crispy and sometimes can crackle a little bit (mainly when usually by themselves).
Color
This comes from the fat and protein. Leaving the yoke in along with the shine will add color. You can add water to lighten the color a bit. I find that using the white also dilutes the color a bit but not as much (but the white also makes it crisp). Add cream or milk to get it a little bit darker.
Salt
I often find people adding salt to an egg wash. I does provide some flavor to the crust, but I have noticed that for some reason (when using a whole egg) it does allow it to get a little darker than it would normally.
Sugar
Like salt it adds flavor (sweetness) to the crust. And it will also add some color. Especially if baking at a higher temp and using a raw or brown type sugar.
Alcohol
I have seen the use of alcohol quite a number of times. From the results I have seen it behaves like water. Although not the the same degree. My guess is that it has to do with how fast the alcohol evaporates. As far as flavor, I can't say that it added much at the levels used. I did once definitely get a hint of a bourbon being used in the wash on a pretty plain white loaf. But they did mix in quite a good amount of bourbon to just an egg yolk.
That is all I have really used myself or seen. I am sure that you can use other liquids although I don't know what vinegar would do. Just keep in mind if they are high in fat, protein, or sugar they will add color. Otherwise they will lighten the color.
I have also seen melted butter just used as a wash. It adds a nice color and buttery flavor. I haven't seen it added to egg wash but I would assume you could add to egg yolk to get a shine and probably darker color than cream/milk.
Another important thing to remember is to beat your wash well when using for a bread coating. Unlike if your just using the was was to seal say a ravioli. If your egg was is spotty not one nice fully incorporated mixture your crust can also be spotty.
Best Answer
Short answer: cream is far from ideal as a frying medium.
In the US at least, heavy cream is about 35% milkfat. Recently, I have learned the UK has a product called double cream which is closer to 50% milkfat.
So what is the rest of the cream, if it is only 50% milkfat at the high end? It is water, with dissolved milk solids and minerals.
Even butter is only about 80% milkfat--the rest is an emulsion of water and milk solids in the main milkfat phase. When butter is made, one by product is buttermilk (the old fashioned kind, as opposed to the modern cultured milk product) which is the remainder of the liquid components in the cream after the butter precipitates. The essence of making ghee is separating the milkfat from the other components.
What does all of this mean? Cream would be far from an ideal medium for frying, as the water would have to evaporate before the temperature could rise to frying levels.
It may be possible in some way by reducing the cream until only essentially the fat is left, and then frying in that, but it doesn't seem very practical. I am not sure how you would do it without introducing many off flavors from scorching or burning the milk solids. I could not find any references to such a thing when googling, although the results for fried ice cream did tend to predominate.
If you want to fry in cream--use ghee. It is highly concentrated milkfat.