Activate the yeast: In a small bowl, combine warm milk, yeast, and a pinch of sugar. Let sit for 5–10 minutes until foamy.
Make the dough: In a large bowl, whisk together flour, remaining sugar, and salt. Add the yeast mixture, egg yolks, butter, and vanilla. Mix until a dough forms.
Knead for 5–7 minutes until smooth and elastic. Add a little flour if too sticky.
Transfer to a lightly greased bowl, cover, and let rise in a warm place until doubled in size, about 1 to 1.5 hours.
Punch down the dough and roll out to about 1/2 inch thick. Cut into 3-inch rounds. Place on a floured baking sheet and cover with a towel. Let rest for 30 minutes.
Heat the oil: In a large heavy pot, heat oil to 350°F (175°C). Fry doughnuts 2–3 at a time until golden brown, about 1–2 minutes per side.
Remove with a slotted spoon and drain on paper towels. While warm, roll in granulated sugar.
Once cooled, use a piping bag fitted with a narrow tip to fill each doughnut with jelly. Insert the tip into the side and gently squeeze until you feel resistance.
Serve fresh and enjoy the soft bite and burst of fruity flavor.