Special equipment: a deep-fry thermometer; a pastry bag and a thin tip
For the filling: Combine the mascarpone, lemon curd and lemon zest and juice in a bowl. Mix until smooth. Cover and chill for 30 minutes and up to 24 hours. Transfer to a pastry bag fitted with a thin tip.
For the sauce: Combine the blueberries, granulated sugar and 1/4 cup water in a saucepan and bring to a boil over high heat. Reduce the heat so the mixture just simmers, and cook until the berries break down and the sauce thickens, about 10 minutes. Transfer to a blender and blend until smooth. Add the lemon juice, transfer to a bowl and let cool while you make the doughnuts.
For the doughnuts: Heat the oil in a Dutch oven until it registers 360 degrees F on a deep-fry thermometer. Put a rack on a baking sheet. Combine the flour, baking powder, baking soda and salt in a large bowl. Cut in the butter using your fingers or a pastry cutter until the mixture resembles coarse meal. Add the buttermilk and mix gently until a dough just begins to come together.
Roll the dough into a square about 1/2-inch thick. Cut the dough into 1-inch pieces and roll into balls. Working in batches (so the doughnuts have plenty of space to float in), fry the dough balls until golden brown and cooked through, about 4 minutes. Use a slotted spoon or spider to transfer the doughnuts to the rack. Let cool slightly. Pipe some lemon cream into each doughnut and then roll in confectioners' sugar. Serve immediately with blueberry sauce on the side for dipping.