The trick to piping custard into these bar-shaped confections (also called eclairs) is to use a wooden skewer to carve out a channel in the donut before filling it.
For the Donuts
- 1 (1/4-oz.) package active dry yeast
- 2 tbsp. sugar
- 2 tbsp. vegetable shortening
- 1⁄2 tsp. kosher salt
- 1⁄8 tsp. freshly grated nutmeg
- 1⁄4 cup evaporated milk
- 1 egg, beaten
- 2 1⁄2 cups all-purpose flour, sifted, plus more for dusting
- Canola oil, for frying
For Filling and Glazing
Make the donuts: Combine yeast, 1 tsp. sugar, and ¼ cup warm water heated to 115° in a bowl; let sit until foamy, 8 to 10 minutes. Add remaining sugar, shortening, salt, and ¼ cup boiling water to the bowl of a stand mixer fitted with a paddle attachment; mix until shortening is melted. Add yeast mixture, nutmeg, milk, and egg; mix. With motor running, slowly add flour; beat until smooth. Transfer to a lightly floured surface and knead until elastic. Let dough rest 10 minutes. On a lightly floured surface, roll dough into an 8" square about 1" thick; cut into 8 strips. Transfer to greased parchment paper-lined baking sheets, spaced 2" apart; cover loosely with plastic wrap and set in a warm place until doubled in size, about 1½ hours.
Heat 2" oil in a 6-qt. saucepan until a deep-fry thermometer reads 350°. Using scissors, cut the donuts out of the parchment paper, leaving about 1" of paper around the sides of each donut (the paper makes it easier to transfer them to frying oil). Working in batches, place donuts in oil, paper side up, using tongs to peel off and discard paper. Cook, flipping once until golden, 2 to 3 minutes. Using a slotted spoon, transfer to a baking sheet with a wire rack; let cool.
Transfer chilled Vanilla Custard to a pastry bag fitted with a ¼" plain tip; set aside. Using a skewer, make 2 holes lengthwise through the ends of each donut that meet in middle. Working with one donut at a time, pipe 2 to 3 tbsp. filling into each hole; repeat with remaining donuts and custard.
Pour warm Semisweet Chocolate Glaze into a pie dish. Dip tops of donuts into glaze; return to rack until set.