Once the dough has doubled in size, punch it down to remove excess air, then transfer it to a clean, lightly floured surface.
Divide the dough into 6 equally sized pieces, and roll each tightly into a ball.
Cut out 6 parchment squares that are ~4" each and place them on to a lined baking tray.
Transfer the dough balls each to their own parchment square. Press down on each of the balls to slightly flatten them, then cover them loosely with a towel.
Allow them to rise in a warm environment for ~30 minutes, or until they have slightly puffed up.
Make the cinnamon sugar coating. Add the sugar and cinnamon to a shallow dish, stirring well so the cinnamon is evenly distributed throughout the sugar.
Once the buns have puffed up, fill a large saucepan with at least 2" of vegetable or any neutral oil. Heat the mixture to 365°F / 185°C.
Carefully place the donuts in to the fryer with the parchment paper (2-3 at a time, depending on what your pan can fit). After ~5-10 seconds, remove carefully remove the parchment from the donuts using metal tongs.
Fry the donuts on each side for 3-4 minutes, or until they are a deep golden brown. You can also check if they are done by making sure the internal temperature is at least 190°F / 87°C.
Remove the donuts from the oil with a metal slotted spoon and immediately toss them in the cinnamon sugar.
Once the donuts have cooled to room temperature, use a sharp knife to poke a hole in the top of each donut.
Transfer the apple pie filling to a piping bag fitted with a large round tip. Fill each donut generously with the apple pie filling, then serve and enjoy!