Step 1

In small bowl, microwave milk until 100°F to 110°F (warm to the touch). Stir in yeast and granulated sugar. Set aside until frothy, about 5 minutes. Transfer to large bowl of electric stand mixer. Add eggs; beat gently by hand to combine. Add butter and salt, mixing to combine (don’t worry if some lumps of butter remain).

Step 2

Add lemon zest and half of flour, stirring to form dough. Gradually add remaining flour; then, using electric stand mixer fitted with dough hook, knead on lowest setting 5 minutes (dough will be sticky).

Step 3

Lightly oil large bowl; transfer mixture to bowl. Cover with damp towel and set aside to rise at room temp until doubled in size, 1 to 1 1/2 hours or overnight in refrigerator (can freeze overnight at this point).

Step 4

Lightly oil large baking sheet. Lightly flour work surface, turn dough out and lightly dust top with flour; press or roll until 1/2 inch thick. With floured 2 1/2- to 3-inch round cutters, cut out dough and transfer to prepared baking sheet. Gather scraps into ball. Repeat rolling and cutting out rounds. Cover rounds lightly with damp towel; let rise until puffed, 30 minutes.

Step 5

Meanwhile, place cooling rack over another baking sheet. Heat oil in large, deep saucepan to 350°F to 360°F on deep-fry thermometer. Working with 3 to 4 donuts at a time, carefully transfer to hot oil and cook until golden brown, about 1 minute per side. Use large slotted spoon to transfer donuts to cooling rack; let cool. Transfer to bowl with confectioners’ sugar and toss to coat.

Step 6

Fill large piping bag fitted with 1/2-inch round tip with jam. Cut narrow slit in side of each donut. Push tip into each slit and gently squeeze in jam until it just comes out of hole.