For the glaze: In a medium bowl, whisk together the powdered sugar, unsweetened cocoa powder, milk and vanilla until smooth. Set aside.
For the pastry cream filling: In a medium bowl, add pudding mix and milk, and whisk until combined. Pour in heavy cream and whisk until fully incorporated. Add vanilla extract and whisk again until pudding has thickened. Let it sit for 5 minutes. Fill a pastry bag fitted with a large round tip.
Fill a large Dutch oven halfway with canola oil. Heat oil to 365°F.
Dust a cutting board with flour. Unfold both puff pastries and open flat. Brush 1 pastry with egg wash. Top with other puff pastry. With a 3-inch round cookie cutter, cut out 9 rounds. Lay on sheet tray. Gently push down around the edges of each round. Pierce each round in the middle with a toothpick three times. Place in freezer for 10 minutes.
Remove from freezer, and transfer puff pastry rounds to the hot oil. Fry for 5 minutes, then flip to cook the other side for 2-3 minutes, or until a deep golden brown. Drain on a paper towel. Let sit for 3 minutes until cool enough to pick up.
To fill the doughnuts with cream, insert the tip of the pastry bag filled with cream into the side of the doughnut and squeeze.
Gently dip one side into the chocolate glaze. Place on rack to let dry. Serve.