In the bowl of a stand mixer fitted with the dough hook, combine warm water, lemon zest, vanilla, yeast, egg yolks, and sugar. Mix briefly.
Add flour and salt. Mix on low until combined, then add butter and cream. Mix on medium speed for 6–8 minutes until a smooth, sticky dough forms.
Transfer dough to a lightly greased bowl, cover, and let rise for about 1 to 1½ hours until doubled in size.
Once risen, turn dough onto a floured surface. Roll out to ½-inch thick and cut into rounds using a cookie or biscuit cutter.
Place on a parchment-lined baking sheet, spaced apart. Cover and let rise again for 30 minutes until puffy.
Preheat oven to 350°F. Bake for 10–12 minutes until golden and baked through.
While warm, dip each doughnut in melted butter and roll in cinnamon sugar.
For the filling, beat cream cheese, cream, powdered sugar, and vanilla until smooth. Transfer to a piping bag with a filling tip.
Insert the tip into the side of each cooled doughnut and pipe in the cheesecake filling until the doughnut feels full.
Optionally top each doughnut with a small dollop of filling and a drizzle of raspberry jam before serving.