Sprinkle in Active Dry Yeast (2 1/2 teaspoon) and let sit until foamy, about 10 minutes.
Warm the Vegetable Oil (1/4 cup), Milk (1 1/4 cup), and Granulated Sugar (2 tablespoon) over the stove until just above room temperature (no higher than 100 degrees F or 37 degrees C).
In a large bowl mix the Salt (1 teaspoon) and Egg (1). Pour the yeast mixture in and mix. Add half of the All-Purpose Flour (4 cup) and mix until smooth. Add the rest of the flour and continue to mix until a ball forms. Cover and leave in a dry place for 1 hour.
Start to warm a deep fryer or a dutch oven with Canola Oil (as needed) to 365-370 degrees F (185-188 degrees C). You will want the oil to come up about 3 inches up the side.
Sprinkle a clean surface with flour and knead the risen dough for about 3 minutes. Roll the dough out 1/4-inch thick and cut out with a 2-inch biscuit cutter or the mouth of a wide drinking glass. Set on a baking sheet and cover.
Let set for about 7-10 minutes before frying. Leave the scraps to roll out again after the first batch is fried. Mix Granulated Sugar (2 cup) and Ground Cinnamon (2 tablespoon) in a small casserole dish and set next to the deep fryer.
Submerge the donuts in the heated oil about 1-2 minutes on each side. Remove from the oil and put them directly into the cinnamon and sugar. Toss around and make sure they are coated before placing them on a cooling rack. Repeat with second half of the dough.
Let the donuts cool before stuffing. Whip Cream Cheese (8 ounce), Salted Caramel Sauce (1 cup), and Marshmallow Creme (1 tub) together until light, fluffy, and smooth.
Place in a pastry bag with a filler tip and fill donuts with about 1/4 cup of filling each.