In a small bowl add yeast and a spoonful of sugar to warm milk. Set aside for 10 minutes.
In a large mixing bowl, beat the egg yolks, egg, butter, vanilla, rum, salt, lemon zest, and remaining sugar together with a hand mixer or in a stand mixer.
Add the yeast mixture to the egg mixture and mix well.
Then mix in the flour and knead the dough. Cover and leave for 2-3 hours. Depend on how warm the room is will depend on how long it takes to double in size.
Dump the dough out on a lightly floured counter. Roll the dough out until it is about 1/4 inch thick. Using a biscuit cutter or another like object, cut 2-inch circles.
Let the cutouts rest for about 20 minutes. They should double in size.
Heat oil on medium heat until the oil is boiling.
Add donut dough to the hot oil and fry for 2-3 minutes on each side.
Remove and let the donut cool.
While the dough cools you can mix the raspberry cheesecake filling.
In a large bowl beat all the cheesecake filling ingredients together with an electric mixer.
Add the filling to a pastry bag. Push the end of the bag into the side of the cooled donut and squeeze the filling into the donut.