I would love one too, but unfortunately they haven't been made. Luckily, the people who are making the new "I-Men" series have bought the rights to Futurama merchandise, so there's a possibility of new stuff in the future. A very slight chance however, as the show is
dead (for the moment, anyway
You should try Futurama Collectorama, they have all the Futurama merchandise and reviews as well. The closest to a Fry plush doll is, I guess, the action figure by Moore Action Collectables (MAC). Good luck finding it!