Start making the dough by whisking the egg and sugar together. Add the oil, liqueur or extract, baking soda, and baking powder and whisk until combined, then mix in the milk and lemon zest.
Gradually add the flour until you have a slightly sticky dough. It can't be too sticky to work with, but if you add too much flour, the donuts can come out hard. Add extra flour if needed to achieve the right consistency.
Heat the olive oil for frying in a wide, heavy frying pan.
While the oil is heating, form the donuts. Grease your hands with oil and grab a small handful of dough. Poke a hole in the center with your finger and carefully stretch until the hole is about 1 inch (2.5 cm.) in diameter.
Gently add the donuts into the hot oil a few at a time, being careful not to overcrowd the pan. Cook them until they are brown on one side, then flip them and brown the other.
Once fried, remove with a slotted spoon and place on a plate of paper towels to drain.
Coat the hot donuts with sugar and enjoy while they're fresh!