Preheat your oven to 350°F (175°C) and grease a 12-cavity donut pan with butter or nonstick spray.
In a large bowl, whisk together the flour, sugar, baking powder, salt, and cinnamon (if using).
In another bowl, whisk together the milk, eggs, melted butter, and vanilla extract until fully combined.
Add the wet ingredients to the dry ingredients and stir gently until just combined—do not overmix.
Fold in the peanut butter until the batter is smooth and fully incorporated.
Spoon or pipe the batter into the greased donut pan, filling each cavity about 3/4 full.
Bake for 10–12 minutes, or until golden brown and a toothpick inserted comes out clean.
Let the donuts cool in the pan for 5 minutes, then transfer them to a wire rack to cool completely.
To make the filling, beat softened cream cheese with powdered sugar and vanilla until smooth. Slowly add heavy cream and beat until thick and creamy.
Transfer the cheesecake filling to a piping bag. Using a small knife or the piping tip, poke a hole in the side of each donut and fill with the cream cheese mixture.
For the drizzle, microwave peanut butter for 20–30 seconds until soft. Stir in powdered sugar and milk until smooth and pourable.
Drizzle the peanut butter glaze over each filled donut and allow it to set for a few minutes before serving.