In a cast-iron pan, cook bacon until crispy. Remove bacon to a paper-towel lined plate, leaving the rendered bacon fat in the pan.
Reduce heat to medium-low and add doughnut halves, insides facing down. Place one slice of each kind of cheese on top of half of the doughnut halves. Allow doughnuts to toast and cheese to melt, then top cheese-covered doughnuts with the plain ones and remove from pan. Continue with remaining doughnuts and cheese.
Insert a skewer into a small cube of cheese and stand up on a plate. Add one doughnut sandwich, followed by a layer of bacon. Continue alternating doughnut sandwiches and bacon, ending with a doughnut sandwich on top.