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1. Sprinkle the yeast and pinch of sugar into the lukewarm water. Let stand for 2 or 3 minutes; stir it to dissolve the yeast. Set in a warm, draft-free area-such as an unlighted oven-for 2 or 3 minutes, or until the yeast has begun to bubble and has almost doubled in volume.
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2. Sift the flour and the salt into a large mixing bowl. Make a well in the flour and pour into it the yeast solution, sugar, egg yolks, cream, rum, orange juice and vanilla.
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3. With your hands or a wooden spoon, work the flour into the other ingredients until the dough is medium-firm.
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4. Shape the dough into a ball and put it into a large, lightly buttered bowl. Dust the top of the dough lightly with flour, cover with a kitchen towel and set it in a warm, draft-free spot (again the unlighted oven is ideal).
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5. In 45 minutes or an hour, the dough should double in bulk and leave a deep depression when pressed in the center with 2 fingers.
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6. Punch the dough down, turn it out on a floured surface, and roll it into a circle ¼ inch thick. With a 2½-inch cookie cutter, cut the dough into as many circles as possible.
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7. Lightly shape the remaining scraps of dough into a ball and roll it again to a thickness of ¼ inch. Repeat the process until all the dough is used. Drop a teaspoon of jam onto the centers of half the circles, then sandwich each of these with one of the other circles.
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8. Press the outer edges of each pair of circles together with the fingertips. Then cut the doughnuts out again with a slightly smaller cookie cutter to trim off the edges. Place them 1 inch apart on a baking sheet lined with a clean cloth dusted with flour.
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9. Let the doughnuts rise in the unlighted oven or other draft-free area for about 20 minutes, or until they rise about ½ inch in the center and look light and puffy.
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10. In a heavy 8- or l0-inch skillet, heat the lard over low heat until a light haze forms over it. With a metal spatula, slide 4 or 5 of the doughnuts into the hot fat.
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11. They will begin to bubble and puff up, and in about 2 minutes should be golden brown on the bottom. Turn them over with a slotted spoon and cook them a few minutes longer, or until they are brown.
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12. Remove them to a plate lined with paper towels. Proceed until all the doughnuts are done. (You may have to add more lard.) Dust the doughnuts with confectioners' sugar before serving them.
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