- To make key lime curd, fill a large bowl with ice water. Mix all curd ingredients together in a double boiler. Cook until a thermometer reads 183 degrees. Remove from heat and let cool in ice bath.
- To make dough, add cream cheese to bowl of standing mixer fitted with a paddle attachment. Blend until smooth. Add sugar and blend again until smooth.
- Whisk all dry ingredients together and, in separate bowl, whisk vanilla into eggs. Alternate adding dry and wet ingredients into mixing bowl and blend until all is smooth.
- Heat oil to 350 degrees. Scoop golf ball-size amounts of donut batter and add to frying pan in batches so as to not overcrowd. Fry until golden brown. Remove doughnuts from oil, toss in sugar, and pipe curd filling into each using a pastry bag or a zip-seal bag with the corner cut off.
- Serve donuts on their own or with coconut pudding and candied mango.