Preheat oven to 350°F. Spray a donut pan with non-stick cooking spray and evenly coat the donut wells with a paper towel.
In a small bowl, mix together the flour, nutmeg, granulated sugar, baking powder, and salt. Set aside.
In a separate bowl, whisk together the milk, eggs, vanilla extract, and vegetable oil until combined.
Gradually add the flour mixture to the wet ingredients, stirring gently with a spatula until just combined.
Transfer the batter to a ziplock bag and cut off one corner. Pipe the batter into the donut wells, filling each 1/2 to 3/4 full. Alternatively, use a cookie scoop to drop batter into the wells, smoothing the tops if needed.
Bake for 10-11 minutes, or until a toothpick inserted into the center of a donut comes out clean. Let the donuts cool in the pan for 10 minutes.
Turn the donut pan upside down and tap it gently on the counter to release the donuts.
For the coating, place powdered sugar in a ziplock bag. While the donuts are still warm, add one donut at a time to the bag and shake to coat. If the powdered sugar isn’t sticking, lightly brush the donuts with melted butter before coating.