Donuts: Dissolve the yeast and 2 tablespoons white sugar in the warm milk.
Sift flour into a large bowl then make a well in the centre and add the yeast mixture, egg yolks, salt, nutmeg, butter and remaining sugar. Stir flour into centre. Once combined turn dough out onto a lightly floured surface and knead until dough is elastic. Cover and let dough rise overnight in the refrigerator.
Remove dough from the refrigerator and roll on a lightly floured surface to 5mm thick. Cut into 5cm circles. Cover and let rise for about 15 to 20 minutes.
Wrap each dough circle around about 2 teaspoons of filling.
In a heavy pot, heat oil to 190 degrees C.
Place the donuts into the oil, turning when browned. Drain on paper towels and roll in icing sugar.
Filling: In a medium bowl combine the cottage cheese, egg, sugar and vanilla. Beat until well combined.