Make the doughnut dough:
In the bowl of a stand mixer fitted with the dough hook, combine the water, zest, vanilla, yeast, eggs, and sugar. Gradually add in the flour then salt, mixing until absorbed. Add the butter and cream and beat on medium speed for 6 to 8 minutes, or until a smooth sticky dough forms. Remove the dough to a lightly greased bowl, cover, and let rise until doubled in size, about 1 1/2 hours depending on the warmth of your kitchen.
For the cheesecake filling:
Meanwhile, make the filling.
In a medium bowl using an electric mixer, beat the cream cheese, cream, sugar, and vanilla until light and fluffy.
Finish the doughnuts:
On a lightly floured work surface, roll the dough out to about 1/2-inch thickness. Using a round cookie cutter, cut out 6 rounds from the dough. Place on a large parchment-lined baking sheet spacing far apart. Cover and let rise until puffy, about 30 minutes.
Meanwhile, preheat the oven to 350°F. Bake the doughnuts for about 10 minutes, or until golden brown and puffed. Let cool enough to be handled.
In a shallow dish combine the cinnamon and sugar for the topping. Dip each warm doughnut in the melted butter, the coat in the cinnamon sugar.
Remove the cream cheese mixture to a piping bag fitted with a long filling tip. Insert the tip into the side of a doughnut and squeeze the filling inside to fill. Repeat for the remaining doughnuts. Top each doughnut with a dollop of the cream cheese mixture then drizzle with jam.
Doughnuts are best served the day they’re made.
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