This Oven Baked Pizza Donut Recipe is made with buttermilk biscuits filled with melty cheese, warm marinara, and coated in seasoned parmesan. The ultimate treat for any pizza lover! This pizza donut recipe has been 4 years in the making. The same obscure little brain of mine that thought up this sweet potato burrito and dill pickle fries came up with the idea of making a jelly donut...but filled with cheese and warm marinara instead....four scores and seven years ago. It's about time we get that 'ish out into the world. Working at a bakery for 4+ years left me with a love/hate relationship with donuts. On the plus, I had donuts at my eating disposal, and tried every kind they had, BUT went home every night smelling like a stale fryolator. The honeymoon phase of loving donuts ...