The “frying pan circuit” (also called the “leaky roof circuit”) referred to the small-time racetracks in horceracing. The “frying pan circuit” was the opposite of the “Big Apple” (New York City racetracks), which was racing’s big-time.
 
“Frying pan circuit” is cited in print from at least 1921 and is seldom used today.
 
     
Old Fulton NY Post Cards
25 December 1921, The Evening Telegram (New York, NY), “Oh! By the way—just listen to this,” pg. 8, col. 7:
Alley Bob was the darky custodian of the jockeys’ room in New Orleans. That winter there was many a Gyp horse there from the Frying Pan Circuit.
(...)
ED WARNKE.
No. 61 Hoyt street, Brooklyn, N. Y.
 
Newspapers.com
4 August 1924, Buffalo (NY) Evening News, “Moore’s Marvelous Mixture May Ruin Racetrack Bookies” by W. O. M’Geehan, pg. 20, col. 7:
I have been shooting at the moon on every track in the world, including the frying pan circuit, and it never happened to me before.
   
Newspapers.com
9 March 1926, Tampa (FL) Morning Trobune, “Paddock Gossip” by F. A. Ross, pg. 3-C, col. 2:
Such performances are all right on the frying pan and leaky roof circuits, but this is a real race meeting, and trainers should have the necessary experience before trying to prepare horses for racing.
 
26 January 1930, Charleston (WV) Daily Mail, “Down the Line” by W. O. McGeehan, pg. 12, col. 3:
They operated on the outlaw half-mile tracks on what was known colloquially as the “Frying Pan Circuit.”
 
Newspapers.com
20 March 1930, Standard Union (Brooklyn, NY), “As You Like It” by Murray Robinson, pg. 14, col. 1:
Trainers of the frying pan circuit chisel along all year in the hope of doctoring up some old nag for one great effort in the fabulously rich race at the end of the season. It used to be Tia Juana. Now it’s Agua Caliente.
 
Google News Archive
14 April 1930, Ludington (MI) Daily News, “‘Sunny Jim’ Nears Peak As Trainer Of Winners” by Orlo Robertson, pg. 6, col. 2:
Sixteen years of age found Fitzsimmons riding on the outlaw half-mile tracks known as the “frying pan circuit.”
 
Newspapers.com
15 October 1933, Fort Worth (TX) Star-Telegram, “The Sport Tide” by Flem R. Hall, pt. 2, pg. 1, col. 6:
FRYING PAN CIRCUIT—The small half-mile tracks of the “sticks,” or rural districts. Also known as the Leaky Roof Circuit and the “bull-rings.”
BIG APPLE—The major tracks of the country.
   
Newspapers.com
20 May 1934, The Sunday Avalanche-Journal (Lubbock, TX), pg. 5, col. 3: 
Horse Racing Coming To Panhandle In
“Big Style” Next Month When Amarillo
Plays Host To Nine-Day Racing Meet
AMARILLO, May 19. (Special)—Horse racing is coming to the Panhandle in big style next month, and those who wish to learn about ponies should start now. The Panhandle race meet at Panhandle on June 7-10 an the nine-day spring meeting of the Tri-State Fair and Racing association in Amarillo June 15-25 will bring to this section all the thrills found on the “big apples.”
 
Do you know what the “big apple” is? If you don’t you might as well learn now what it and a lot of other expressions peculiar to the race track mean. You’ll be hearing a lot of funny expressions at the races here, and if you’ll study the definitions below, you will be in a position to know what they mean.
 
Big Apple—the major tracks of the country such as Belmont, Arlington Downs, Churchill Downs, etc.
 
“Frying Pan Circuit”
Frying Pan circuit—the smaller tracks where most the thoroughbreds start their careers.
   
Time magazine
Art: Horse Painting
Monday, Dec. 20, 1937
(...)
As a horse trainer, Townsend sometimes races his own horses, sometimes goes on shares with other owners. He travels with the horses, in a truck. His affection is not for the bigtime tracks but for the half-mile county fair circuit in Pennsylvania. Ohio and Illinois which horsemen know as the Frying Pan or Leaky Roof circuit.
 
Newspapers.com
30 March 1960, Miami (FL) Herald, “Following the Sun(shine) To Derby Day” by Edwin Pope, pg. 3-D, col. 2:
For more than a decade he was groom, trainer and owner on what the erudite Charles Hatton of The Morning Telegraph called “the frying-pan circuit.”