Make the Dough: In a large bowl, combine warm milk, 1 tbsp sugar, and yeast. Let sit for 5-10 minutes until foamy. Whisk in remaining sugar, eggs, melted butter, and salt. Gradually add flour, mixing until a soft dough forms.

Knead and Rise: Knead the dough on a floured surface for 8-10 minutes until smooth and elastic. Place in a greased bowl, cover, and let rise in a warm place for 1-2 hours, or until doubled in size.

Prepare the Filling: Beat softened cream cheese until smooth. Add powdered sugar and vanilla, mixing until combined. In a separate bowl, whip heavy cream to stiff peaks. Fold the whipped cream into the cream cheese mixture, then fold in the 15 crushed Oreos. Refrigerate for at least 30 minutes.

Shape and Proof: Punch down the risen dough. Roll it out to ½-inch thickness and cut out 3-inch rounds. Place on a parchment-lined sheet, cover, and let proof for another 30-45 minutes until puffy.

Fry the Donuts: Heat oil in a heavy pot to 350°F (175°C). Fry donuts in batches for 1-2 minutes per side until golden brown. Transfer to a wire rack to cool completely.

Fill and Glaze: Transfer cheesecake filling to a piping bag. Once donuts are cool, insert the tip into the side and fill. For the glaze, whisk powdered sugar, milk, and vanilla. Dip the top of each donut in the glaze and sprinkle with crushed Oreos. Serve immediately.