Would you believe nobody really knows it? The reason, because jelly doughnuts are a relatively recent addition to the doughnut case. Prior to their becoming a staple of the stand-up Dunkin’ box, they were considered to be very different things and went by many different names. Most of them German.
They’ve been called Berliners, Pfannkuchen, Krapfen, Kreppel, and the one name only a true German could possibly pronounce, Fastnachtsküchelchen. Get pulled over for drunken driving in Berlin and they make you repeat that eight times in a row. Fastnachtishu—, fantasticshuckel—, fernoshtikook—, oh hell just take me to jail!!
The Poles call them pączki, and when you consider that large swaths of Poland have actually been regions of Germany at various points in the past, I think we’re starting to see some fairly compelling evidence that the jelly doughnut is a German phenomenon.
As to when the first, er, um Berliners were made, there’s only speculation. That’s because yeasted breads, of which jelly doughnuts are but one iteration, have been around for millennia. Just when early peoples thought to fry up yeasted dough in fat instead of baking it is anybody’s guess. My money is on proto-human hockey fans, but it’s so hard to tell with these things.
Some doughnut historians have tried to make a connection between the jelly doughnut and another well-known German pastry, the Bismarck. That’s because, like Berliners, Pfannkuchen, Krapfen, Kreppel, and Fastnachtsküchelchen, Bismarcks are also yeasted pastries filled with jam or custard. But Bismarck history itself is rather unclear. No one is exactly sure why they’re called what they’re called. Some claim Bismarcks are called Bismarcks because Otto von Bismarck was fond of them. There’s really no proof of this, since the only thing Bismarck was actually known to have an appetite for were small Northern European nation states. My guess is that the Bismarck got its name not because the Iron Chancellor loved to eat them, but because, being fairly plump pieces of pastry, they rather resembled him (he was not a thin man). But who really knows?
The entire point is somewhat moot in that the original Bismarck was elongated rather than circular, which means it should probably be considered the precursor to the Long John and not the jelly doughnut. Or maybe that’s the éclair. Jeepers I’m getting confused.