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, vanilla extract, and whiskey.
Mix the ingredients together, then knead the dough for 8-10 minutes until it becomes elastic and smooth.
Cover the dough and let it rise in a warm place for about 1 hour, or until doubled in size.
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 the cut-out 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 with a doughnut: if it immediately floats to the surface and bubbles gently, the oil is ready.
Fry the doughnuts for 1-2 minutes per side, until golden brown. Use a slotted spoon to remove them and place them on paper towels to drain excess oil.
Once the doughnuts have cooled slightly, prepare the whiskey glaze: whisk together the powdered sugar, heavy cream, and whiskey until smooth.
Dip the tops of the doughnuts into the whiskey glaze and let them set.
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