Preheat the oven to 350°F Lightly grease a doughnut or muffin tin.
Sift the flour, cocoa powder, baking powder and baking soda, and then whisk in the sugar, nutmeg and salt.
Add the butter, and using your fingers, rub it into the dry ingredients until it becomes coarse crumbs.
In a separate bowl, whisk together the buttermilk, yogurt, vanilla and egg. Add to the flour mixture and stir until just combined. Do not overmix, or your doughnuts may be a bit rubbery.
Fill each cup 1/2 to 3/4 full. You can do this with a spoon, but I prefer using a piping bag to fill each cup more evenly and cleanly. It’s important not to overfill, or as the doughnuts rise, you’ll lose the hole.
Bake for 6 to 10 minutes (depending on the size of your doughnut pan), until the doughnuts spring back when touched. Let cool slightly on a wire rack before glazing. If coating in powdered sugar, let them cool even a bit more.