Pour the lukewarm milk in the bowl of your stand mixer, or a large mixing bowl if using a hand mixer or if mixing by hand. Sprinkle the yeast on top and let it sit for 5 minutes.
Add the egg, egg yolk, orange zest, sugar, salt, flour and butter. Using the dough hook, mix for about 10 minutes until the dough is smooth and no longer sticks to the sides of the bowl.
Turn the dough onto a flat surface and shape into a compact ball. Do not add any flour. Place the dough in a lightly greased bowl and cover it with plastic wrap. Alternatively, place the bowl upside down on top of the dough on the flat surface. Let it rest until doubled in size – about 1-2 hours.
Divide the dough in 12 pieces. Shape each piece into a round ball, keeping the dough in between your palm and the work surface to create tension on the outside of the dough.
Using scissors, make a shallow cut all the way around each ball, about 6 or 7 times.
Place each bomboloni on a parchment lined tray. Cover and let rest until double in size – about 1 hour.
In a large pot, heat the oil to about 340°F (170°C). Fry the bomboloni in batches, without crowding the pot. Fry until each side is golden brown. Remove and place on a tray lined with paper towel to soak up any excess oil.
Dip each bomboloni in the cinnamon and sugar while still warm.
Once completely cooled, fill each with the pumpkin cream filling using a piping bag fitted with a tip that you can poke right into the donut.