Combine the custard, melted peanut butter and jelly. Stir to combine and set aside.
Combine the milk and a pinch of the sugar into a large sized bowl. Sprinkle over yeast and set aside for 5 to 6 minutes or until foamy. Stir in the remaining sugar, egg yolks and melted butter until combined. Add the flour and stir until a rough dough forms.
Turn out onto a lightly floured surface and knead for 5 minutes or until a smooth dough forms.
Place into a lightly oiled bowl and cover with plastic wrap. Let rise in a warm place for 1 hour.
Punch down the dough and turn out onto a lightly floured surface.
Divide into 12 equal portions and roll each into a ball and then flatten slightly. Place onto a greased tray and let rise covered with a tea towel for 40 to 50 more minutes. They won't quite double in size.
Heat oil in a large pan to 315 degrees F. Cook the doughnuts in batches for 8 minutes, turning once half way. Transfer onto a plate lined with paper towel to cool.
Using a small knife, cut a hole into each donut for the filling. Put the filling into a piping bag or large freezer bag. Push the nozzle into the side of the donut and squeeze the filling into each.
For the peanut glaze combine the peanut butter with 2 tbsp melted butter, 2 tbsp icing sugar and 1/2 teaspoon of vanilla. Stir until smooth and dip each donut.
For the jelly glaze, combine the remaining butter and icing sugar with the jelly.
Place in a piping bag with a fine nozzle and drizzle over the donuts.