In a stand alone mixer, add in the warm milk and the yeast. Whisk until combined and then let it sit for 5 minutes.
Add in the egg yolk, flour, butter, sugar, salt and vanilla and mix with the dough attachment.
Mix for 4 minutes until everything is combined.
Remove dough and place on a floured surface. Knead into one large ball.
Spray a medium bowl with oil and place the dough in the bowl.
Cover with a dark towel and keep somewhere warm for the dough to rise.
Wait 1 hour for the dough to double in size… you can make the filling while you’re waiting for this.
When the dough has risen, punch it in the middle (kinda of fun in a weird way!) and then roll out 1-2" thick.
Cut circles using biscuit cutters.
Fill a medium pot halfway with canola oil and bring it to 350 degrees. Keep a thermometer in there so you can gauge the temperature, keeping it at 350 degrees.
Drop two donuts in the hot oil and cook on each side until golden brown… about 35 seconds on each side.
Remove and place in on a plate that's lined with a paper towel to soak the grease.