For the Dough:

• In the bowl of a stand mixer, whisk together the yeast, sugar, and warm water. Let sit for about 5 minutes or until foamy.
• Meanwhile, whisk together the flour, nutmeg, and salt in another bowl.
• Once the yeast mixture is foamy, stir in the milk, eggnog, egg yolks, and softened butter.
• Fit the machine with the dough hook and add in the flour mixture. Mix on low speed for about 5 minutes, or until a soft, elastic ball of dough has formed. It should cleanly pull away from the sides of the bowl.
• Turn the dough onto a lightly floured work surface and knead for a few minutes.
• Spray your mixer bowl with nonstick spray (or lightly oil) and return the kneaded dough to the bowl.
• Cover with a towel and allow to rise until doubled in size, about 1½ hours.
• Punch down the dough and then divide it into quarters. Cut each quarter into 6 small pieces.
• Roll each dough piece into small round balls and place on a baking sheet lined with parchment paper that has been dusted lightly with flour.
• Cover the baking sheet with a towel and let the dough balls rise for another 30 minutes.
• Meanwhile, pour the oil into a high-sided pot and fit it with a deep-fry thermometer. Heat the oil to 375°F.
• Carefully place 3-4 donuts into the hot oil and fry for 1-2 minutes per side, or until they are golden brown.
• Transfer the donuts to a baking sheet lined with paper towels.

For the Coating:

• In a wide, shallow bowl, whisk together the sugar and nutmeg.
• Roll the warm donuts in the sugar mixture to evenly coat.

For the Filling:

• Once the donuts have cooled, make the filling by beating together the eggnog, cream cheese, nutmeg, vanilla, and salt in a stand mixer fitted with the whisk attachment.
• Once the mixture is creamy and smooth, gradually add in the powdered sugar until the mixture is thick and fluffy, similar to a buttercream consistency.
• Put the filling in a piping bag fitted with a small round tip.
• Insert the tip of the piping bag into the side of each donut and gently and slowly squeeze the filling inside.
• Serve immediately. Donuts will keep, well wrapped at room temperature, for a couple days.