In a large bowl, combine the flour, granulated sugar, salt, and active dry yeast.
Pour the warm milk into the dry ingredients, then add the egg, melted butter, and vanilla extract.
Mix the ingredients together, then knead the dough for 8-10 minutes until it becomes smooth and elastic.
Cover the dough and let it rise in a warm place for about 1 hour, or until it has doubled in size.
Meanwhile, prepare the praline filling: in a saucepan, melt the butter, add the brown sugar and heavy cream, then stir in the roughly chopped pecans.
Cook the mixture over low heat until it thickens, then 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 praline filling in the center of each dough circle, then fold it in half and seal the edges well to keep the filling inside 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 an additional 30 minutes.
In a large pot, heat the oil to about 340°F (170°C). Drop a doughnut into the oil as a test: if it immediately floats to the surface and bubbles gently, the oil is ready.
Fry the filled doughnuts for 2-3 minutes on each side, until golden brown. Use a slotted spoon to remove them, then place them on paper towels to absorb excess oil.
Sprinkle the finished doughnuts with powdered sugar and serve fresh, so the filling remains soft and creamy.
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