Looking at the variety and pictures in Wiki, I recognise the stuff known as Krapfen in South, Pfannkuchen in East and Berliner in Northwestern German. Something like that is sold in Budapest since the middle of the nineties -- and when I looked it up in a dictionary, I found my bécsi fánk translates to "Viennese doughnut"...

Though the dough tastes similar, and "Viennese doughnut" also combines fat and sweet, for lack of hole and frosting, I failed to make the connection. "Viennese doughnut", is like what you describe (and, now I notice, like the second donut on the very picture I posted...): thin powder sugar on top, and maybe filled with vanilla or chocolate pudding. (Can't say I am too high on that, either, but less strange than with the frosting.)

_{*Lunatic*, n.
One whose delusions are out of fashion.}