Place vegetable oil in a heavy bottom pot and heat until it reaches 350°F. I like to leave my candy thermometer in the pot during frying so I can regulate the heat up or down if it gets to hot or cold. A heavy bottomed pot is best for frying, it’s easier to regulate the heat that way than with a thinner pot. (I use a Le Cruset soup pot.) You really should use a thermometer!
Drop 2-3 biscuits in your pot (depending on the size of your pot). Cook about 3 minutes until they are a deep golden, flipping halfway. Remove from oil using a slotted spoon and place the cooked donuts on a cookie sheet topped with two layers of paper towels. Let cool before filling and glazing.
Make the Peanut Butter Filling: Whisk all ingredients except milk until smooth. Add 2 tablespoons of milk, whisk. The end product should be the consistency of pudding. Depending on the brand of Greek Yogurt you use, it may need up to 4 tablespoons of milk. (I used Yoplait Greek and used 4 tablespoons.)
Place the filling in a pastry bag fitted with the Wilton 230 tip (or similar). (Normally I use a ziploc bag for frosting, but you really need a pastry bag for that tip. You can also use a squeeze bottle.) Press the tip into the center of each doughnut and fill. You can also turn the doughnut 90° and fill again to make sure you’re getting enough in. You’ll know you added too much when you remove the tip and it squirts out.
Make the Chocolate Glaze: whisk powdered sugar, cocoa, extract, and milk in a medium bowl. If glaze is too thick to dip, you can add up to 1 tablespoon more glaze. Dip tops of the doughnuts in glaze. Place on a wax paper lined cookie sheet and sprinkles with sprinkles. Let dry completely, about 30 minutes to 1 hour.