Hmm interesting, I had never given much thought to making these delicious little guys on my own before, but after a quick search through some recipes, I like this one from O: http://www.oprah.com/food/DIY-Croissant-Doughnuts-Recipe
Croissants are made of puff pastry. You can buy puff pastry and use that. It might take a bit of practice to deep fry something like that though. It is so light and fluffy it may absorb way too much oil if the temperature isn't exactly right.
I would think that a puff pastry donut would turn out way too crunchy once it was fried or even put in the oven. Has someone tried this before with good results?
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