Whisk together flour, cocoa powder, sugar, baking powder, and salt in a large bowl.

In a medium bowl, whisk together milk, heavy cream, egg, butter, and vanilla. Pour the wet mixture into the dry ingredient mixture and stir together until just combined. Cover with plastic wrap and set in the refrigerator for 1 hour to rest.

Turn the chilled dough out onto a floured surface. Roll out until it's approximately 1/2" thick. Using a biscuit cutter or cookie cutter, cut small circles into the dough, approximately 1” to 1 1/2” in diameter. Gather the scrapes, roll out again and cut additional holes until all the dough has been cut.

In a large saucepan over medium heat, heat approximately 2 to 3" deep of oil until it reaches 375 degrees. Fry the donut holes 4 to 5 at a time for approximately 2 to 3 minutes, until puffed and golden. Remove to a paper towel lined plate to drain. Repeat with remaining dough.

Whisk together the confectioners' sugar, cherry jam, 4 Tbsp milk and vanilla for glaze in a medium bowl until smooth. Whisk in more milk if necessary to reach desired consistency.

Line the donut holes on a baking rack set just inside a rimmed baking sheet that has been lined with parchment paper. Slowly pour the glaze over the donut holes, ensuring they are all covered well with the glaze. You may need to use a spoon to get the sides of the holes. Serve immediately or store in an airtight container.