Make the donuts: In a stand mixer fitted with a paddle attachment combine flour, yeast, sugar and sea salt. In another bowl combine milk and vanilla extract. Slowly stream in milk mixture while mixer is on speed 2, or just until combined. Add yolks, one at a time, beating in-between each addition until incorporated. Add pumpkin and butter, beating until dough forms.
Change paddle for hook attachment. Knead dough until uniform, smooth and elastic, less than one minute.
Transfer dough to a large bowl. Drizzle a bit of canola oil on top and rub around dough until it is oiled all the way around. Cover with plastic wrap and allow to rise in a warm, non drafty place for 6 hours or in refrigerator overnight.
Remove plastic wrap and turn out dough on a floured surface (bread flour or all-purpose work). Roll out to a 1/4 inch thickness. Using a 3 inch circle cutter, cut out dough. Place on a pan sprinkled with a bit of flour and repeat.
Cover donuts loosely with a bit of plastic wrap and allow to rise one more time, for about an hour, in a warm and non drafty place.
To fry, add 2 inches of canola oil into a dutch oven or a large, high-sided pot. Heat oil to 365-375F, no less and no more. Carefully pick up donuts and drop into oil, 3-4 at a time or enough to loosely fill half of the pot you are using. Fry until golden brown on both sides, about 45 seconds per side. Drain on paper towels and repeat with remaining dough. Set aside and let cool.
Make the glaze: combine ingredients, stirring well. Set aside.
Make the filling: in a small bowl combine dulce de leche and vanilla pudding. Add mixture to piping bag fitted with a long tip.
Assemble the donuts: Once donuts are cool enough to handle, insert piping bag tip into side of donut and squeeze until donut puffs up. Repeat with remaining donuts. Then dip each side into Blood Orange Glaze and place on a wire rack to set. Once donuts are set, decorate using icing pens and candy eyes. Serve immediately and enjoy!