FF, none of my usual sources discussed the etymology of "doughnut", except to observe that it is a combination of DOUGH + NUT. According to the Word Detective, doughnuts were originally made without the holes, so the simple explanation seems to be that they were nutshaped and made of dough, hence, dough nuts.
http://www.word-detective.com/back-j2.html#doughnutOne other possibility: one of my etymological dictionaries discusses the use of "nut" as a color; dough nuts are usually nut brown, so that might have re-enforced the association between nuts and the fried dough.
And for the non-cooks in the crowd: the holes are put in doughnuts to make them cook evenly. A large doughnut will not be cooked in the middle if not punctured with the hole. The shape of a cooked hole is basically the shape of doughnuts as originally made.
