Add the milk to the yeast and allow to proof until spongy. In a large mixing bowl, place the butter, maple syrup, sugar, salt, baking soda, nutmeg and bacon. Beat with an electric mixer or by hand with a whisk. Add the flour 1 cup at a time until you have a nice soft dough. Lay out on a floured work surface and knead the dough for 4–5 minutes, until it is stretchy and soft and will bounce back if your finger is pressed into it. Place in a greased bowl, cover with a damp cloth and allow to rise until double (about 1–2 hours). Roll the dough out on a floured work surface until it is about ¼ inch. Cut with a small cookie cutter or biscuit cutter (about 2 inches across). Lay these on a piece of wax paper, cover lightly with another piece of wax paper and allow them to rest for 35–40 minutes. In a pan on the stove or a deep fat fryer, place the oil and bring to 300°.
Meanwhile, place powdered sugar in a brown paper bag and set aside. Cook each donut about 2 minutes on a side. Remove from the oil and place on a baking rack to drain for about 1 minute. Then place the donuts in the bag, close the top and shake until they are covered with the sugar. Remove from the bag and return to the cooling rack.
After the donuts have cooled completely, use a chopstick to poke a hole in each donut. Use a metal tip and pastry bag to fill each donut with the whiskey custard*. (If you made the custard ahead, allow it to come to room temperature before filling the donuts.)