Heat vegetable oil to 375°F (190°C) in a deep fryer or heavy-bottomed pot, maintaining consistent temperature throughout frying process.

Whisk together flour, sugar, baking powder, salt, cinnamon, nutmeg, cloves, and ginger in a large mixing bowl until evenly distributed.

Combine pumpkin puree, milk, eggs, melted butter, and vanilla extract in a separate bowl, whisking until completely smooth.

Pour wet ingredients into dry ingredients, stirring gently until just combined without overmixing the batter.

Roll dough on floured surface to 1/2-inch thickness, then cut with doughnut cutter or round cutters creating center holes.

Fry doughnuts in batches for 2-3 minutes per side until golden brown and cooked through, avoiding overcrowding.

Remove doughnuts with slotted spoon and drain on paper towel-lined cooling racks.

Beat cream cheese until fluffy, then add powdered sugar, vanilla, and heavy cream for cheesecake filling.

Transfer filling to piping bag fitted with small round tip for easy injection into cooled doughnuts.

Whisk powdered sugar, milk, and vanilla extract together until smooth for glazing consistency.

Inject each doughnut with cheesecake filling through small holes made with skewer or knife tip.

Dip filled doughnuts in glaze, allowing excess to drip off, then garnish with chopped walnuts if desired.