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1. Pour the milk into a small bowl and sprinkle it with the yeast and ½ teaspoon of the confectioners' sugar. Let the mixture stand for 2 or 3 minutes, then stir to dissolve the yeast completely.
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2. Set the bowl aside in a warm, draft-free place (such as an unlighted oven) for about 10 minutes, or until the mixture almost doubles in volume.
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3. Sift the flour and the remaining confectioners' sugar into a deep bowl and make a well in the center. Pour in the yeast mixture, egg yolks, rum, vodka and vanilla and, with a large spoon, gradually stir the flour into the liquid ingredients.
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4. Continue to stir until well mixed, then add the orange and lemon peel and beat in the softened butter, a few tablespoons at a time. The dough should be just firm enough to be gathered into a medium- soft ball.
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5. On a lightly floured surface, knead the dough by pushing it down with the heels of your hands, pressing it forward and folding it back on itself. Repeat-pushing, pressing and folding-until the dough is smooth and elastic.
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6. Gather it into a ball, place it in a lightly buttered bowl, and dust the top with flour. Drape the bowl with a towel and set it aside in the draft-free place for about 1 hour, or until the dough doubles in volume.
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7. Punch the dough down with a single blow of your fist and, on a lightly floured surface, roll it out into a rough circle about ½ inch thick. With a cookie cutter or the rim of a glass, cut the dough into 2½-inch rounds.
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8. Gather the scraps into a ball, roll it again to a thickness of ½ inch and cut out similar rounds of dough. You should have about 2 dozen rounds.
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9. With your thumb, make a 1-inch round indentation in the center of each circle and fill it with about ½ teaspoon of the preserves.
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10. Lift up the edges of the dough around the filling and pinch the ends together to enclose the filling securely. Cover a baking sheet with a sheet of wax paper and place on it the doughnuts, seam side down and about 2 inches apart.
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11. Set aside in the draft-free place again for about 1 hour, or until the doughnuts have puffed up and doubled in size.
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12. Pour the oil into a deep fryer or large heavy saucepan to a depth of 3 inches and heat until it reaches a temperature of 325 on a deep-frying thermometer.
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13. To deep-fry the doughnuts, lower 3 of them into the hot oil with a slotted spoon and fry for 4 minutes.
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14. Turn the doughnuts over with the spoon and continue to deep-fryuncovered for about 4 minutes longer, or until they are golden brown.
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15. Transfer them to drain on a platter lined with paper towels and fry the remaining doughnuts similarly. Let the doughnuts cool to room temperature, then sprinkle them lightly with a little confectioners' sugar and serve.
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