1. In a medium saucepan heat milk, sugar, shortening and salt over medium heat until shortening is almost melted (115°F to 120°F), stirring constantly.
2. In a large bowl combine 2 cups of the flour and the yeast. Add milk mixture, eggs and lemon zest; beat well by hand. Stir in as much of the remaining flour as you can with a wooden spoon.
3. Turn out onto a floured surface. Knead in enough remaining flour to make a dough that is smooth and elastic, 6 to 8 minutes. Place in a lightly greased bowl, turning to grease surface. Cover; let rise in warm place (80°F to 85°F) until double in size, about 1 hour.
4. Punch dough down. Divide dough in half; place on a lightly floured surface. Cover and let rest 10 minutes. Roll out dough to ½-inch thickness. Cut with a floured 2½-inch biscuit cutter. Cover and let rise until puffed and double, about 1 hour.
5. Meanwhile, in a large heavy skillet or deep-fat fryer, pour enough oil to provide 1½ inches of frying depth; heat to 375°F. Fry several donuts at a time about 1 minute per side or until golden. Drain and cool on double thickness of paper towels.
6. To prepare donuts for filling, insert a sharp knife into the side of each donut, about three-fourths the way to the other side. Swivel knife in both directions to make a pocket. Fill a pastry bag fitted with a ¼-inch round tip with jelly. Squeeze about 2 teaspoons jelly into each donut. Frost with Confectioners’ Glaze.

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Confectioners’ Glaze

1. In a medium bowl whisk together confectioners’ sugar, vanilla and enough half-and-half or milk to make a spreadable glaze.