The same issue applies to any fried donut and is not exclusive to the jelly filled ones. The primary issue is the proper beracha on fried or boiled dough products.
Actually Rav Bentzion Abba Shaul proposed that jelly donuts should be less problematic because they are filled and might qualify as pas haba'ah b'kisnin, which is mezonos up until a certain quantity. Even though the donuts are only filled after the frying process, but they are intended to be filled from the beginning. He does not pasken this way l'maaseh, but proposes it as in interesting idea.