In a mixing bowl, combine the pumpkin puree, sugar, vegetable oil, milk, egg, and vanilla. Mix until smooth and well-combined.
In a separate bowl, whisk together the flour, baking powder, baking soda, cinnamon, nutmeg, and salt.
Gently fold the dry ingredients into the wet ingredients. Be careful not to overmix; the mixture should be just combined.
Preheat your air fryer or oven to 350°F (175°C) to ensure even cooking.
Roll the dough into golf ball-sized portions. This ensures they cook evenly and retain a delightful round shape.
Space the dough balls evenly in the air fryer basket or place them on a baking sheet lined with parchment paper, ensuring space between each for even cooking.
For the air fryer, cook the donut holes for 10-12 minutes. If using the oven, bake for 15-18 minutes, or until they turn golden brown and firm to touch.
Meanwhile, mix some sugar and cinnamon in a shallow bowl for the coating.
Allow the donut holes to cool slightly before rolling them in the cinnamon-sugar mixture for a sweet and spicy finish.