Whisk flour, baking powder, baking soda, salt, and nutmeg in a large bowl.
In another bowl, whisk sugar and eggs until thick and slightly pale, then whisk in sour cream, melted butter, and vanilla until smooth.
Add wet ingredients to dry and stir with a spatula until no dry spots remain. Dough will be sticky. Cover and chill 20 to 30 minutes to firm slightly.
Lightly flour your surface and hands. Turn out dough and pat or roll to about 0.5 inch thick. Cut donuts with a 3 inch cutter and a 1 inch hole (reroll scraps once).
Heat canola oil in a heavy pot to 350°F, keeping the oil between 325°F and 350°F during frying. Line a sheet pan with a rack or paper towels.
Fry donuts in batches 1 to 2 minutes per side until deep golden with crackly edges. Fry holes about 1 minute total. Drain well on the rack.
Make the glaze: Whisk powdered sugar, milk, vanilla, and a pinch of salt until smooth and pourable.
Dip warm donuts in glaze, letting excess drip off. Place on rack to set 5 to 10 minutes. Serve warm or at room temperature.
Notes
For the signature craggy tops, avoid overmixing and keep the dough slightly chilled before cutting. If the donuts brown too quickly, lower the heat to keep the oil near 340°F. Store leftovers in an airtight container for up to 2 days; rewarm briefly in a 300°F oven for best texture.