Make the dough: In a large bowl, whisk flour, sugar, instant yeast, and salt. In a separate bowl, mix warm milk, egg, softened butter, and vanilla. Pour wet into dry and stir until a shaggy dough forms.

Knead until smooth: Turn the dough onto a lightly floured surface and knead 6–8 minutes, until smooth, elastic, and slightly tacky. You can also use a stand mixer with a dough hook for 5–6 minutes on medium-low.

First rise: Place dough in a lightly greased bowl, cover, and let rise in a warm spot until doubled, about 60–75 minutes.

Shape the donuts: Gently deflate the dough and roll to about 1/2 inch thick. Use a 2 1/2–3 inch round cutter to cut circles. Gather scraps, rest them for 5 minutes, then reroll and cut again. You should get about 10–12 rounds.

Second rise: Place rounds on parchment-lined sheets, cover lightly, and let rise until puffy, 30–40 minutes. They should look noticeably lighter and spring back slowly when touched.

Preheat the air fryer: Heat to 350°F (175°C) for 3–5 minutes. Lightly spray the basket with oil to prevent sticking.

Air fry in batches: Arrange 3–4 donuts in the basket with space between them. Lightly mist the tops with oil. Cook 5–7 minutes, flipping halfway. Donuts should be golden and sound slightly hollow when tapped.

Coat with sugar: Brush warm donuts with melted butter, then roll in granulated sugar until well coated. Work while they’re still warm so the sugar adheres.

Fill with jelly: Fit a piping bag with a small round or Bismarck tip and fill with jelly. Use a paring knife to make a small opening on the side of each donut, then pipe in 1–2 tablespoons of jelly. If you don’t have a piping bag, use a zip-top bag with a small corner snipped.

Let set and serve: Rest the filled donuts for 5–10 minutes to settle the filling. Serve warm for the best texture and flavor.