Activate Yeast:
In a small bowl, mix warm milk and yeast. Let sit for 5–10 minutes until foamy.
Make Dough:
In a large bowl, combine flour, sugar, salt, and cinnamon. Add yeast mixture, eggs, softened butter, and vanilla extract. Mix until dough forms. Knead 5–7 minutes until smooth and elastic. Cover and let rise 1–2 hours until doubled.
Make Sweet Cream Filling:
Heat milk in a saucepan until just simmering. In a separate bowl, whisk egg yolks, sugar, and cornstarch. Slowly pour hot milk into egg mixture while whisking. Return to saucepan and cook on low, stirring until thick. Remove from heat, add butter, vanilla, and orange zest. Cool completely.
Shape Donuts:
Roll dough on floured surface to ½-inch thickness. Cut circles with a round cutter. Place on parchment-lined sheet, cover lightly, let rise 30 minutes.
Fry Donuts:
Heat oil to 350°F (175°C). Fry donuts 2–3 minutes per side until golden. Drain on paper towels.
Fill Donuts:
Transfer sweet cream to piping bag with small round tip. Insert into donut side or top, fill generously. Dust with powdered sugar and sprinkle festive red/green sugar if desired.