Blend the yeast with the water.
Sift the flour and salt into a warmed bowl.
Stir in the sugar and orange rind.
Make a well in the centre and pour in the egg yolks, cream, rum, vanilla essence and yeast liquid.
Draw all the ingredients together until evenly incorporated and mix to a smooth dough.
Place in a well greased bowl.
Cover with a damp cloth and set aside in a warm place for 1 1/2-2 hours or until doubled in size.
Punch the dough down in the bowl to deflate it, then turn onto a lightly floured surface.
Roll into a large circle, about 1/4 inch thick.
With a lightly floured 3 inch plain pastry cutter, cut out circles of dough.
Place 1 teaspoon jam on the centre of half of the circles.
Cover each with a plain circle of dough and press the edges together.
With a slightly smaller cutter, trim off the rough edges.
Place 1 inch apart on lightly greased and floured baking sheets.
Put inside oiled polythene (plastic) bags and leave in a warm place for 30 minutes until puffy.
Heat the oil in a deep fryer to 375°F or until hot enough to turn a cube of stale bread golden in 20-30 seconds.
Fry the doughnuts, a few at a time, turning occasionally, for 3 minutes or until golden brown.
Drain on kitchen paper.
Dust with icing sugar before serving.