In a small bowl, combine warm milk and active dry yeast. Let it sit for 3-5 minutes until frothy.

In a large bowl, whisk flour, granulated sugar, salt, and pumpkin spice. Add activated yeast mixture, pumpkin puree, and egg. Mix until a sticky dough forms, then knead for 5-7 minutes.

Add softened unsalted butter to the dough and knead for another 5 minutes until absorbed.

Shape the dough into a ball, place in a greased bowl, cover, and let it proof in a warm area for 45 minutes to 1 hour.

Punch down the risen dough, divide into 12 portions, and shape into balls.

Place shaped donuts on a baking sheet, cover loosely, and proof again for 45 minutes to 1 hour.

Mix granulated sugar and ground cinnamon in a bowl for coating.

Whip cream cheese, pumpkin puree, pumpkin spice, powdered sugar, and heavy cream until thick. Refrigerate until needed.

Heat oil to 325°F and fry donuts for 2-3 minutes per side until golden brown.

Cool slightly, then use a piping bag to fill each donut with spiced cream.