In the bowl of a stand mixer, add the warmed milk, water, sugar and sprinkle the yeast on top. Gently stir and let bloom for 10 minutes.
Once frothy, with the dough hook attachment, turn the mixer onto low speed.
Add the flour, butter, salt, zest, extracts and blood orange juice and mix for about 5-7 minutes until the dough starts to pull away from the sides of the bowl. Add additional flour 1 tablespoon at a time if needed to get the dough to come together.
Turn the dough out onto a flat surface, shape into a ball and transfer to an oiled bowl. Cover with a towel and let rise in a warm place until doubled in size, about an hour.
Once risen, turn the dough out onto a floured surface, gently knead a few times and then roll out into a 1 inch thick circle.
Using a biscuit cutter, cookie cutter or rim of a 2 inch wide glass, cut out circles of dough and place on a parchment paper or silpat lined baking sheet.
Cover with a towel and let rise again for another 45 minutes-1 hour until doubled in size.
Once risen, preheat oven to 375, fill a loaf pan 1/2 way with water and place in oven.
If the dough spread while rising, tuck the side of the circles underneath to form more of a ball shape than a disk. You want them to be puffy enough to fill after baking.
Bake for 4 minutes, turn the sheet and bake for another 3-4 minutes, removing them from the oven just as they start to turn brown on the top.
Let the donuts cool on the sheet for a few minutes before transferring to a cooling rack.
While the donuts cool, make the filling by beating the cream cheese with a hand held electric mixer for 1 minute. Add the powdered sugar and beat until incorporated. Lastly, add the blood orange juice and beat until a light pink color.
Fill a pastry bag fitted with a long skinny tip with the cream cheese filling.
Once donuts are cooled completely, insert the tip into the center of the donut from the side and gently squeeze the filling to fill the cavity of the donut, careful not to overfill.
Melt the chocolate and coconut oil and dip the tops of the donuts.
Place back on the cooling rack to let the chocolate set before serving.