In the bowl of a stand mixer, pour the lukewarm milk and sprinkle the yeast over the surface. Allow it to rest for about five minutes until the yeast softens and begins to activate, then stir gently to combine. Add the granulated sugar, vegetable oil, egg, orange zest, and vanilla extract, whisking together until the mixture is smooth and uniform.

Gradually incorporate the flour and a pinch of salt. Using the dough hook attachment on low speed (no higher than speed 2), begin mixing until the dough comes together. Continue kneading with the mixer for about seven minutes until the dough becomes smooth, soft, and elastic.

Transfer the dough onto a lightly floured surface and knead a few times by hand. Shape the dough into a ball and place it in a lightly oiled bowl, rolling the dough to coat it with a thin layer of oil. Cover the bowl tightly with plastic wrap and let it rest in a warm, draft-free spot for about 2–3 hours, or until the dough triples in volume.

After the first rise, gently deflate the dough and roll it out to a thickness of about ¼ to ⅓ inch. Using a 2½-inch (6½ cm) round cookie cutter, cut out six circles of dough. Place them onto a parchment-lined baking sheet, cover loosely with plastic wrap, and allow them to rise again for approximately one hour until puffy.

Fill a medium-sized pot with about 2 inches of vegetable oil and heat it to 340°F–350°F (170°C–175°C). Carefully monitor the temperature to maintain consistency while frying. Fry the Bomboloni in batches, turning them a couple of times, for about 2–3 minutes on each side until they are puffed and golden brown.

Using a slotted spoon, transfer the fried donuts briefly onto a paper towel-lined plate to drain excess oil, but only for a few seconds. Immediately roll them in granulated sugar while still warm, making sure they are thoroughly coated.

Allow the Bomboloni to cool slightly. Using the end of a wooden spoon, make an indentation either on the side or on top of each donut, gently twisting to create space for the filling. Fill each donut generously with creamy pastry cream, chantilly cream, or your favorite hazelnut spread. Serve fresh and enjoy every luscious bite.