In a large bowl, whisk together the flour, sugar, salt, and active dry yeast.
Pour the warm milk into the dry ingredients, then add the egg, melted butter, and vanilla extract.
Mix until combined, then knead the dough for 8-10 minutes, until smooth and elastic.
Cover the dough and let it rise in a warm place for about 1 hour, or until doubled in size.
Meanwhile, prepare the filling: heat the heavy cream until simmering, then add the finely chopped dark chocolate. Stir until smooth, then add the cocoa powder and let it cool.
On a lightly floured surface, roll out the dough to about 1 cm thickness. Use a glass or doughnut cutter to cut out circles.
Place a small amount of chocolate cream in the center of each dough circle, then fold it in half and seal the edges well to prevent the filling from leaking during frying.
Place the filled doughnuts on a baking sheet lined with parchment paper and cover with a clean kitchen towel. Let them rise for another 30 minutes.
In a large pot, heat the oil to about 340°F (170°C). Test the oil by dropping in a doughnut; if it immediately floats to the surface and bubbles gently, the oil is ready.
Fry the filled doughnuts for 2-3 minutes per side, until golden brown. Use a slotted spoon to remove them, then place them on paper towels to absorb excess oil.
Sprinkle the tops of the finished doughnuts with powdered sugar and crushed Oreo cookies for an extra chocolatey flavor.
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