In a small bowl, whisk together egg and sugar until mixture is fluffy. Add milk, oil, vanilla, egg, and Greek yogurt. Whisk until you have a smooth, creamy mixture.
In a medium bowl, sift together flour, baking powder, baking soda, and salt.
Pour wet ingredients into dry, and whisk together until you have a smooth mixture.
Bake at 350 for 11-13 minutes, until lightly golden and a toothpick inserted comes out clean.
Let donut bites cool completely before filling. To fill, use a small, sharp knife to carefully cut out the centers (will be little cone shapes), being careful not to cut all the way through to the bottom.
Using a piping bag or spoon, fill each donut bite with 1/2 tsp of jam.