Make the lemon curd: In a small saucepan, whisk lemon juice, zest, sugar, egg yolks, and a pinch of salt. Cook over medium-low heat, stirring constantly, until thick enough to coat the back of a spoon, about 6–8 minutes. Remove from heat, whisk in butter until smooth, then strain into a bowl. Press plastic wrap onto the surface and chill until set.

Mix the dough: In a bowl, sprinkle yeast over warm milk and let it sit until foamy, about 5–10 minutes. In a stand mixer with a dough hook (or by hand), combine flour, sugar, and salt. Add the yeast mixture and eggs. Mix until a shaggy dough forms.

Knead and enrich: Add softened butter, one tablespoon at a time, mixing until fully incorporated. Knead until the dough is smooth and slightly tacky but not sticky, about 6–8 minutes in a mixer or 10–12 minutes by hand. If needed, dust with a little flour.

First rise: Shape the dough into a ball and place it in a lightly oiled bowl. Cover and let rise in a warm spot until doubled, about 1–1.5 hours.

Shape the doughnuts: Turn the dough onto a lightly floured surface and roll to about 3/4-inch thickness. Use a 2.5–3-inch round cutter to cut circles. Transfer to parchment-lined trays, leaving space between them. Gather scraps, rest for 5 minutes, reroll, and cut more.

Second rise: Lightly cover the rounds with a towel and let them puff until pillowy, 30–45 minutes. They should look visibly lighter and spring back slowly when gently tapped.

Make the mascarpone filling: In a bowl, whisk mascarpone with powdered sugar and vanilla until smooth. If too thick, loosen with 1–2 tablespoons of heavy cream. Keep chilled. Once the curd is cold and thick, gently fold a few spoonfuls into the mascarpone to create a marbled effect, or keep them separate for a layered fill.

Heat the oil: Pour 2–3 inches of oil into a heavy pot and heat to 350°F. Keep a thermometer in the pot to maintain temperature. Prepare a sheet pan lined with paper towels and a bowl of sugar for coating.

Fry the doughnuts: Working in batches, carefully slide in the dough rounds. Fry 1–2 minutes per side, until golden brown and cooked through. Adjust heat to hold steady at 350°F. Transfer to the paper towels to drain briefly.

Coat in sugar: While still warm, roll the doughnuts in granulated sugar until evenly coated. Let cool just enough to handle.

Fill the doughnuts: Use a paring knife to make a small slit on the side of each doughnut. Fit a piping bag with a round tip and fill with lemon curd, mascarpone, or the marbled mixture. Pipe in gently until you feel the doughnut swell slightly—about 2–3 teaspoons total, depending on size.

Finish and serve: Dust with a touch of zest if you like. Serve warm or at room temperature. The centers should be creamy with a bright citrus pop.