Directions

Prepare a large bowl by wiping it lightly with neutral oil. Set aside.

Make the dough

In the bowl of a stand mixer fitted with a paddle attachment, combine the milk and 2 tablespoons sugar and briskly mix to dissolve the sugar. Turn the mixer off and sprinkle the yeast on the surface of the milk. Mix gently, then let stand a few moments until you see bubbles form – this is how you'll know the yeast is working.
In the meantime, sift together both flours, the remaining sugar, salt, and nutmeg in a separate bowl. Tip the dry ingredients into the yeast-milk mixture and mix on low speed using paddle attachment once again. After about 30 seconds, you should see a shaggy dough form. Add the egg and vanilla. Let the mixer run until the dough comes together, 1 - 2 minutes.
Increase the speed to medium and add the butter 1 tablespoon at a time, mixing to incorporate for a few seconds after each addition. Switch from the paddle to the dough hook attachment. Mix on medium again for 5 to 7 minutes until the dough is smooth (it should be slightly sticky and beginning to pull away from the sides of the bowl).
Turn the dough out onto a floured work surface and give it a few finishing kneads with the heels of your hands. Shape into a ball and place in the large greased bowl. Cover the bowl with plastic wrap and let dough rise in a warm, draft-free place until doubled in size, about 1-2 hours.
Once the dough has finished its first rise, you have a choice to make: Will you go faster, still tasty route or the slower, even tastier route? If going the slow route, punch the dough down, form into a ball, cover and transfer to the fridge for a second overnight proof. This will develop extra flavor and excellent texture in the finished donuts. If donuts now are a must, skip that second rise and head straight into cutting and frying the bombolini.
Either the next day after your second proof, or immediately after the first proof, prepare a sheet plan with parchment paper and a light dusting of flour. Line a second sheet plan with paper towels on the bottom and place a wire cooling rack on top.

Make the lemon sugar

In a medium bowl (a little larger than you think you'll need), use the tips of fingers to mix the sugar, lemon zest, and salt until thoroughly combined (the lemon zest will be extra fragrant). Set this aside–you'll be tossing the warm bombolini in this after frying.
Tip your dough out onto a floured work surface. Using a rolling pin, gently roll the dough to about 1/2 inch thick. Lightly flour a 2-inch circular cookie cutter to prevent sticking, then cut as many bombolini as you can. Transfer the cut bombolini to the floured sheet pan. You may re-roll the scraps once to get a few more bombolini out of the batch. (Note that the re-rolled bombolini will not be as puffed as the first batch, but still very delicious.) If your dough proved a second time overnight, roll and cut the bombolini, then cover.
In a heavy-bottomed pot like a dutch oven, warm at least 2 inches of oil to 375ºF (use a candy thermometer to measure the temperature). Using a slotted spoon or spider, lower the bombolini into the hot oil, frying about 3 at a time or as many will fit comfortably without crowding the pot. Fry for 2 minutes, turning the bombolini every 30 seconds or so to get an even brown color all around. When they are deeply golden brown, remove from the oil and transfer to cooling rack.
While the bombolini are still warm, roll each in the lemon sugar. Once sugar-coated, use a paring knife, chopstick, or piping tip to poke a small hole in the side where the filling will go.

Make the filling

In a stand mixer fitted with the paddle attachment, add the fresh goat cheese and confectioners' sugar, then mix on medium speed until light and fluffy (2-4 minutes). Scrape down the sides, then, while the mixer is running, slowly pour in the heavy whipping cream and mix until smooth. This should be the consistency of classic cake frosting.
Assemble a piping bag and piping tip, twisting the bag just above the tip to keep your filling from leaking out while filling the bag. Place the entire bag upright in a tall cup or pitcher so you have your hands free to fill the bag. Using a long spoon, spoon goat cheese mixture into the piping bag, keeping it to one side as best you can. Fill the other side of the piping bag with the lemon curd, keeping the divide as even as possible. You should have two stripes of each running up the piping bag. It will not be perfect, but the idea is to get a little taste of each filling in every bite. If desired, transfer the assembled piping bag to the fridge for up to 2 hours.

Fill the bombolini

Once the bombolini are cool enough to handle, fill each one by inserting the tip of the piping bag into a pre-cut hole, using slow and even pressure on the bag. For the first few bombolini, you may find that some filling spills our when you remove the tip–don't worry about it! Adjust the pressure and amount of filling accordingly and enjoy the extra as a chef's treat.
Eat the filled bombolini right away. If making ahead of time, keep the bombolini and filling separate until you're about to eat. Do not fill them more than 2 hours before you plan to eat them.