Dissolve the yeast and sugar in milk. Knead with the flour, egg yolks, butter, salt and lemon zest into a smooth dough. Cover and let rise in a warm place until the volume has doubled.
Vigorously knead the dough on a floured surface, halve and shape into 2 rolls. Divide each roll into 6 equal pieces, shape each piece into a ball and let sit for about 30 minutes.
Heat the butter or oil to 180°C (approximately 350°F). Fry each donut in the butter or oil until golden brown on each side.
Remove the donuts from the butter or oil and drain on paper towel. Let cool slightly. If desired, pour the jam into a piping bag with a long, thin spout and inject the jam into the donuts. Serve dusted with powdered sugar.