Combine the lukewarm buttermilk, water, sugar, and yeast in a large bowl. Whisk to dissolve the yeast. Leave for 5-10 minutes until foamy.
Add in the egg, melted butter, and salt.
Add the flour. Mix using a dough hook on your mixer or by hand. Knead on low-medium speed for about 5 minutes. By hand, knead for about 10 minutes.
Transfer the dough to a lightly greased bowl, cover with plastic wrap, and allow to proof in a warm, draft-free place for about one hour or until doubled in size.
Once the dough has doubled, place it on a floured surface and knead lightly. Use a rolling pin to roll to about 1/2" thickness, and use a donut cutter to cut out donuts. Save the donut holes, if desired.
Cover them with plastic wrap as you re-roll and cut out the remaining dough. Allow the donuts to proof at room temperature for 30-45 minutes.
Fill a Dutch oven at least 2-3" deep with oil and heat to about 350-360°F. Fry the donuts, three at a time, flipping once, until light golden brown, 1 to 2 minutes per side.
Remove donuts from the oil with a spider strainer and place on a tray lined with paper towels. Let the doughnuts cool slightly before filling.
Add the jelly to a pastry bag fitted with a circular tip or a ziplock bag with the corner snipped off. Do the same with the warmed peanut butter. Poke a hole on both sides of the doughnut. Starting with the jelly, squeeze a little out of the bag and into the doughnut, swap and squeeze a little peanut butter into the doughnut.
Repeat until it feels like one side of the doughnut is almost filled. Then do the same to the other side of the doughnut. Repeat until all the doughnuts have been filled.
For the glaze, whisk the ingredients together until smooth. Dip the doughnuts in the glaze to coat the top. Sprinkle with the peanuts and serve.
Notes
We chose creamy peanut butter but I don't see why you couldn't use chunky PB as well. You can also replace it with sunbutter for an allergy-friendly version, just know that the filling may be a bit thinner. As far as the jelly goes, you can use jam/jelly in any flavor you prefer. Raspberry, grape, strawberry, or black raspberry are popular choices when it comes to peanut butter and jelly.
If you don't have a donut cutter or biscuit cutter handy, you can use an upside down cup to make the donut circles.
Optionally save and fry the excess donut holes. You can also fill these will PB&J if desired or leave them as is.
Instead of glazing the donuts, feel free to dip them in granulated sugar while they're still warm from frying.