Start by preparing the doughnut batter.
In another bowl, combine the pumpkin puree, granulated sugar, brown sugar, eggs, and buttermilk.
Fold the wet ingredients into the dry ingredients gently.
Prepare the cheesecake filling by beating the cream cheese to a smooth consistency.
Add powdered sugar and vanilla extract to the beat cream cheese.
Fill a piping bag with the cheesecake filling and set aside.
Heat oil in a deep-fryer or heavy pot to 350°F (175°C).
Spoon tablespoons of batter into the hot oil, frying a few at a time.
Remove the doughnuts from the oil and drain on paper towels.
Once cooled, fill each doughnut with the cheesecake filling using the piping bag.
Serve immediately or dust with powdered sugar before serving.