In a large bowl or bowl of a stand mixer (fitted with dough hook), combine the warm milk, 1 teaspoon sugar, and the yeast. Let sit for about 5-10 minutes, until foamy.
Meanwhile, melt the butter and lightly beat the egg.
Add remaining ¼ cup sugar, salt, and egg to the yeast mixture; stir or whisk to combine. Then mix in the melted butter and 2 cups of flour on low speed.
Scrape down the sides of bowl, then mix in remaining 1 cup flour. Dough should start to pull away from sides of bowl, but still be sticky. (Can add up to ¼ cup flour more, if needed.) Increase speed to medium-low and knead for 5 minutes. Dough will become more smooth and elastic, but still sticky.
Remove dough hook or transfer dough to a greased bowl, cover with plastic wrap and let rise until doubled. (With instant yeast, this will probably take about 30 minutes.)
Punch down dough and turn out on lightly floured surface. Gently roll out dough until a little less than ½-inch thick, between ¼-inch and ½-inch.
Since the donuts won’t have a hole, simply cut circle into the dough about 3 inches in diameter
Place rounds on parchment paper to rise again (about 30 minutes)
Spray air fryer basket with oil, place donuts inside (about 4-5) and spray the tops with oil
Air fry for 5 minutes at 350 °F, flip donuts at 3 minute mark
Take donuts out of the air fryer and coat in sugar. If the sugar isn’t sticking to the donuts, lightly spray or brush the donuts in oil.
Let them cool completely
To finish, pipe in the filling until the filling pushes back.
For Lemon Zest Sugar Coating:
Stir together lemon zest and sugar. It may clump together, but keep stirring.
For the Lemon Cream Filling:
Whip or mix together the ingredients until smooth and creamy