Add flour, sugar, yeast, lemon (peel), orange (peel), egg, water, salt and butter to a bowl and mix. When the dough starts to form, knead with your hands until smooth. Cover with cling film and leave to rise for 2 hours or until doubled in size.
When the time is up, divide the dough into two halves. Roll out the first half and cut out shapes using a heart-shaped cookie cutter (10 cm diameter).
Place them on a baking sheet lined with baking paper and prick the middle part with a smaller heart-shaped cookie cutter. Cover with a cloth and leave to rise for 1 hour.
Roll out the second half of the dough and divide into several pieces. Spread the hazelnut cream on a piece of dough and cover with the second one, sealing the edges well.
Cut out the dough using a heart-shaped cookie cutter and place on a baking sheet lined with baking paper. Cover with a cloth and leave to rise for 1 hour.
After the time is up, transfer them to a pan with heated oil and fry until golden brown.
Sprinkle the heart-shaped doughnuts with sugar and serve.
