Preheat your oven to 375°F (190°C). Line a baking sheet with parchment paper.
In a mixing bowl, whisk together the flour, granulated sugar, salt, baking powder, baking soda, and ground nutmeg.
In a separate bowl, combine the vanilla extract, egg, buttermilk, and melted butter. Mix until well combined.
Pour the wet ingredients into the dry ingredients and stir until just combined. Be careful not to overmix.
Turn the dough out onto a floured surface and roll it out to about ½ inch (1.25 cm) thick.
Use a donut cutter or two round cookie cutters (one small for the center) to cut out donuts. Place them on the prepared baking sheet.
Bake in the preheated oven for 12–15 minutes, or until golden brown. Allow them to cool slightly on a wire rack.
Once cooled, fill a pastry bag with your choice of fruit preserves or custard and pipe it into the center of each paczki.
For the glaze, whisk together powdered sugar and milk until smooth and desired consistency is reached.
Dip the top of each paczki into the glaze and let it set before serving.