If you can’t find dulce de leche in the cultural foods aisle of your store, try making your own by filling a baking dish with sweetened condensed milk and tightly covering with foil. Place the baking dish in a roasting pan and fill the roasting pan with water, three-fourths of the way up the dish. Bake at 425°F for 1 to 1 1/2 hours, checking every 30 minutes for a caramel color.
After filling the doughnut holes, press the hole down in the cinnamon-sugar again to help seal in the filling.
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