Mix 2 cups flour with sugar and salt. Make a well in the center and add 1/4 cup warm water and the yeast. Allow to rise 20 minutes. Add egg yolks, remaining water, and butter.
Beat until well-blended. Add lemon rind and remaining flour until a soft dough is formed. Knead for 5-10 minutes, until dough is smooth and elastic. Place dough in a lightly greased bowl. Cover and let rise in a warm place until doubled in bulk, about 1 1/2 hours.
Punch dough down. On lightly floured board roll dough 1/4 inch thick. cut dough into 2 inch rounds. On half of the rounds place about 1 teaspoons of jam or jelly. Moisten edges with water. Place a second round on top. Press firmly to seal edges. Let rise 15 minutes.
Fry in deep fat heated to 375 Fº. for 4 minutes on each side or until browned. Cut into first doughnut to be sure it is done in the center. Drain on absorbent paper and sprinkle with lots of sugar as the doughnuts are not sweet.