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Step 1
Add the milk, yeast, and sugar to the bowl of a stand mixer fitted with the dough hook attachment (or into a large bowl in mixing by hand). Mix until well combined.
Step 2
Next, add the egg, vegetable oil, and vanilla bean paste and mix well.
Step 3
Add the flour gradually with the mixer on low speed. Continue kneading on low speed until the dough is smooth and slightly tacky-- about 5 minutes.
Step 4
Place the dough in a greased bowl, cover in plastic wrap, and set it aside to rise for one hour.
Step 5
Roll the dough out on a lightly floured surface until it is ½” thick. Use a doughnut cutter (or a biscuit cutter and a small circular object such as a piping tip) to cut out 3-inch doughnuts. Set the doughnuts (and doughnut holes, because why not?) on a silicone or parchment-lined sheet pan to rise for an additional hour.
Step 6
Grease basket of air fryer with non-stick spray. Air fry in batches, a few at a time, at 365 F for 7-8 minutes, or until they are a deep golden brown. Place on a cooling rack and repeat with the remaining dough.
Step 7
Combine the powdered sugar, heavy cream, and vanilla bean paste in a small bowl.
Step 8
Dip the doughnuts in the icing, and place them on a wire rack to set. Serve warm.