For fennel sugar, combine raw sugar, fennel seeds and rind in a mortar, then using a pestle, grind to a fine powder, pass through a coarse sieve, discarding solids, add caster sugar and set aside.
Combine cream and milk in a small saucepan over low heat and warm gently to blood temperature.
Meanwhile, combine flour, yeast, sugar, rind and ½ tsp salt in a bowl, make a well in centre, then add cream mixture and stir to incorporate. Knead dough gently on a lightly floured surface until smooth. Place in a bowl, cover with plastic wrap and stand in a warm place until doubled in size (35-40 minutes).
Roll dough into walnut-sized pieces and place on a baking paper-lined tray, cover with a tea towel, stand in a warm place and prove for another 20 minutes.
Heat oil in deep-fryer or deep saucepan to 180C. Fry doughnuts in batches until golden and crisp (3-4 minutes). Drain on absorbent paper. Toss in fennel sugar and serve immediately.