Add 3-inches of oil to a heavy, medium saucepan and heat over medium-high heat (about 350 degrees Fahrenheit).
In a large bowl, mix the flour and yogurt with a spatula to form a dough.
Lightly dust a clean surface with flour and roll the dough into a ball. Use a tablespoon or a melon baller to scoop out the dough and form golf size balls by rolling it in your hands.
Fry the donut holes in batches and cook until they float to the top of the oil and are golden brown.
Use a spoon to remove the donut holes and drain on a paper towel lined plate or on a wire rack.
In a small bowl, combine sugar and cinnamon.
Add the slightly cooled donut holes into the cinnamon sugar and roll each one until fully coated.
Fill a piping bag and tip with jam or chocolate hazelnut spread.
Insert the tip halfway through the donut and squeeze out the filling. Repeat until all donut holes are filled and serve warm.