In the bowl of a stand mixer, add the milk, flour, sugar, yeast and egg. Mix on medium for 8 minutes or until the dough comes together and starts to form a ball. Slowly add the butter, a teaspoon at a time, then turn the speed up to high and continue to beat for a further 5 minutes. The dough should be very elastic, smooth and glossy. Transfer the dough to a bowl and cover with plastic wrap. Leave to proof in a warm place until doubled in size, about 1 hour.
Transfer the dough to a lightly dusted surface and cut into 6 even pieces. Roll into tight buns and leave on a lightly dusted baking tray leaving plenty of space in between each one. Cover loosely with plastic wrap and leave until doubled in size.
Heat the oil in a large saucepan to 320 degrees. Using a floured scraper carefully slide the doughnuts into the hot oil in batches of 2 to 3. Cook for 2 minutes then flip them over and cook for another 2 minutes. Remove and drain on paper towels while you repeat with the remaining dough. While the doughnuts are still warm toss them in the sugar to coat, and set aside to cool before filling.
To make the filling, beat the cream cheese, peanut butter, sugar and heavy cream together until light but holding its shape. Mix the jam in and then fill a piping bag with a plain nozzle and add the filling. Make a hole in the crease of each doughnut and pipe with filling.