Begin by assembling your pumpkin custard by mixing the spices, half and half, and pudding mix in a medium bowl until the ingredients are well combined. Place the bowl in the fridge until the mixture is set.
In a medium bowl, whisk together your milk, yeast, and one teaspoon of white sugar. Cover the bowl with a dishcloth and let sit until the mixture is foamy. This will take 3-5 minutes.
In a large bowl or stand mixer, whisk together the remaining sugar, white flour, and ground cinnamon. Pour in the yeast mixture and add your melted butter, egg, and vanilla. Whisk the mixture until the ingredients are homogenous and no pockets of flour remain.
Dump the donut dough onto a lightly floured surface and knead by hand for about five minutes. Cover the dough with plastic wrap and allow it to rise for 30 minutes.
After the dough has risen, roll it out into a sheet about ¼ - ½ inch thick and use a cup or biscuit cutter to cut out 4-inch circles. Cover these circles with plastic wrap again and allow them to rise for another 30 minutes.
Preheat your air fryer to 350 Fahrenheit for five minutes, and then place three donuts in your air fryer basket.
Cook the donuts for 3 minutes at 350 Fahrenheit. Allow the donuts to cool before using an icing or Ziploc bag to fill them with the pumpkin custard.
Plate, serve, and enjoy!