As a note, you might want to make the lemon curd first so it can chill for a few hours! Start by adding the milk and water to a saucepan over low heat. Heat gently until just warmed.
Once warm, place the unsalted butter in the bowl of your electric mixer and pour the warm milk over the butter. Stir gently until the butter melts completely. Add in the honey and sprinkle the yeast over top. Give it a quick stir and let it sit for about 5 minutes until the yeast is foamy.
Next, add the eggs, sugar, salt, nutmeg, and half of the flour to the yeast mixture. Using the paddle attachment, beat the dough on low speed until combined and sticky.
Gradually add in the remaining flour and beat on low speed, increasing to medium speed until the dough comes together. It will still be sticky! Switch to a dough hook and beat the dough for about 5 minutes on medium speed, or until it starts pulling away from the sides of the bowl.
Once the dough is ready, remove it from the mixing bowl and place it in a lightly oiled bowl. Cover it with a clean cloth and let it rise in a warm place for about one hour, or until it doubles in size.
After the dough has risen, place it on a floured surface. Roll it out to about 1-inch thick. Using a 1-inch biscuit cutter (or a larger one if you prefer), cut out rounds from the dough. For the centers, use a smaller cutter or the bottom of an apple corer to cut the holes. Transfer the rounds to a baking sheet, cover, and let them rise again for about 30 minutes.
Meanwhile, heat a large pot of oil (I recommend using vegetable oil) over medium heat. It’s essential to monitor the temperature; use a candy thermometer to ensure it doesn’t exceed 365-370 degrees. When ready, gently add the doughnuts 2 or 3 at a time and fry for about 1 to 2 minutes per side, until golden brown. Remove with a large slotted spoon and place on a paper towel to drain. Let them cool completely.
Now, let’s prepare the filling! In a saucepan, whisk together the lemon juice, sugar, and cornstarch. Heat this over medium-low, whisking until the sugar dissolves. In a separate bowl, place the egg yolks and whisk in a few tablespoons of the warm lemon mixture to temper the eggs.
Reduce the heat and add the tempered eggs to the saucepan, whisking continuously. Cook over low heat until thickened, which should take about 10 minutes. Don’t forget to whisk in the lemon zest once thick! Remove from heat and stir in the butter until it’s melted. Pour the curd into a bowl and cover it with plastic wrap, pressing it directly onto the surface to prevent a skin from forming. Let it cool to room temperature, then refrigerate for at least 4 hours.
To assemble the filling, whisk the softened mascarpone cheese with about 1/3 cup of the chilled lemon curd until smooth. Reserve any leftover curd for topping later. Scoop the creamy filling into a piping bag or ziplock fitted with a frosting tip. Squeeze and pipe a bit of the filling into the center of each doughnut. Remember, the filling can be generous!
Add the remaining mascarpone to a large bowl and whisk until creamy. Gradually whisk in the powdered sugar and vanilla extract, then drizzle in the milk until a glaze forms. Stir well for a minute or two to eliminate any lumps; if it’s too thick, add more milk one tablespoon at a time until smooth.
Spoon the glaze over the cooled doughnuts. In a small bowl, mix the granulated sugar and additional lemon zest together with your fingers until well combined. Sprinkle this mixture over the doughnuts for a delightful finish. If desired, top with any remaining lemon curd.