01 - Preheat oven to 350°F. Thoroughly grease a 12-cavity donut pan.
02 - In a large mixing bowl, whisk together the all-purpose flour, granulated sugar, baking powder, baking soda, kosher salt, ground cinnamon, and ground nutmeg until uniformly combined.
03 - In a separate medium bowl, whisk together the buttermilk, large eggs, melted unsalted butter, vanilla extract, and fresh lemon zest until well blended.
04 - Pour the wet ingredient mixture into the dry ingredient mixture. Stir gently until just combined, being careful not to overmix the batter to maintain tenderness.
05 - If using, in a small bowl, beat the softened cream cheese with powdered sugar and vanilla extract until the mixture is smooth and creamy.
06 - Transfer the donut batter to a piping bag. If incorporating the cream cheese filling, pipe a thin layer of batter into each donut cavity, add a small dollop of the cream cheese mixture, then cover with additional batter. If not using the filling, simply fill each cavity approximately two-thirds full with batter.
07 - Bake for 10 to 12 minutes, or until the donuts are golden brown and spring back lightly when touched. Allow them to cool in the pan for 5 minutes before carefully transferring them to a wire rack to cool completely.
08 - For the glaze, whisk together the powdered sugar, milk, and vanilla extract in a bowl until smooth and pourable. Dip each completely cooled donut into the glaze, ensuring an even coating.
09 - Immediately after glazing, sprinkle the donuts generously with purple, green, and gold sanding sugars, applying them in sections to emulate the traditional Mardi Gras King Cake. Allow the glaze to set for a few minutes before serving.