In a small saucepan heat the milk until tiny bubbles appear around the edge; add butter and 1/3rd cup sugar; of heat stir until butter melts.
Pour into a medium mixing bowl and cool to lukewarm (115 degrees); add yeast and stir until dissolved— this takes considerable stirring. Add 1 cup of the flour, the egg yolks. orange rind, lemon rind, orange juice and vanilla; with a wooden spoon beat until blended.
Stir in enough more flour to make a soft dough.
On a lightly floured surface, knead until smooth and elastic -- about 5 minutes.
Place in a greased medium mixing bow; turn to grease top.
Sprinkle lightly with flour.
Cover; let rise in a warm, draft-free place until doubled —about 1 hour.
Punch-down dough; cut into 2 equal portions.
On a prepared pastry cloth with a prepared fabric-covered rolling pin roll out 1 portion of. the dough-so it is 1/2" thick.
With'a round 2 3/4-inch cutter cut out.
Roll and cut the remaining portion as the dough the same way.
With your forefinger, make a 1-inch-long indentation in the center of each round.
Put 1/2 level teaspoon jam in each indentation.
Holding a round in the palm of one hand. with the thumb and forefinger of the other hand lift up edges and pinch together hard so they meet; turn over edge, a little at a time, pinching hard as you do so, to insure a tight seal; with your forefinger held like a knife, firmly press down edge.
The rounds should now be oval shape.
Place‘ sealed greased cookie sheet; cover and let rise in a warm, draft-free place until doubled- about1 hour.
Fry in deep hot oil (375 degrees on a frying thermometer) without touching or crowding).until well browned on bottom
side — about 2 minutes; turn and continue frying until top side is well browned - about 2 minutes more;
Doughnuts should be a dark brown to ensure doneness.
Drain on absorbent paper.
With extra confectioners sugar mashed through a sieve dust doughnuts on all sides.