Whisk together 2 1/2 cups flour, cinnamon, and salt in a large bowl.

Grease another bowl with vegetable oil.

Combine yeast and 1 teaspoon sugar in a medium bowl.

Add warm water, stir, and let foam for 5 minutes.

Whisk remaining sugar, egg yolks, milk, and vanilla into the yeast mixture.

Add the wet mixture to the flour mixture and stir until a ball forms.

Transfer dough to a floured surface.

Knead in butter until smooth and elastic, about 6-8 minutes, adding flour if needed.

Form into a ball, place in the oiled bowl, and turn to coat.

Cover and let rise until doubled, about 1 1/2 - 2 hours.

Line a baking sheet with parchment paper.

Punch down the dough, roll to 1/4 inch thickness.

Cut out 2-1/2 inch rounds and place on the baking sheet.

Reroll scraps and cut again; discard remaining scraps.

Cover and let rise until puffy, about 30 minutes.

Make the marshmallow filling: mix marshmallow creme, cream cheese, butter, vanilla and powdered sugar.

Transfer filling to a piping bag fitted with a 1/4-inch round tip.

Make the glaze: Whisk powdered sugar, cocoa powder, cinnamon, and milk together until smooth.

Heat oil in a Dutch oven to 365 degrees F.

Place a wire rack over a baking sheet.

Fry 4 dough rounds at a time until golden brown, about 2 minutes total, flipping halfway.

Pierce any air bubbles.

Remove donuts to the rack with a slotted spoon.

While frying the next batch, dip the bottom of each donut in the chocolate glaze and place glaze-side up on the rack.

Cool the donuts.

Cut a pocket in the side of each donut.

Pipe marshmallow filling into the pocket.

Serve warm or at room temperature.