In a large bowl, whisk together sugar and egg until combined. Add in flour, baking powder, salt and nutmeg. Then mix in vegetable oil, milk, Nutella and vanilla extract. Stir until everything is combined.
Pour oil into pan being used for frying, at least one inch deep. Preheat to medium-high heat. While oil is heating, put batter into a piping bag. After oil is hot, drizzle the donut batter in a circular motion until it forms the shape and size you wish. The batter will spread while frying and start to firm up. As soon as it is firm enough, flip over and cook other side.
Remove from hot oil and cool on paper towel lined plates. Repeat with remaining batter. Before serving, sprinkle powdered sugar on top.
The nutrition information provided are only estimates based on an online nutritional calculator. This is not a comprehensive list of all the nutrients in the recipe (i.e., does not include vitamins, cholesterol, etc). I am not a certified nutritionist. Please consult a nutritionist or doctor for accurate information and any dietary restrictions and concerns you may have.