Mix warm milk, warm water, and yeast. Let sit 5–10 minutes until foamy.
In a large bowl, whisk flour, sugar, salt, and cinnamon. Add butter, eggs, vanilla, and yeast mixture. Mix until dough forms.
Knead until smooth and elastic, 8 minutes by hand or 5–6 minutes with a mixer.
Place in greased bowl, cover, and let rise 1–1 ½ hours.
Roll dough to ½ inch thick. Cut into donuts and place on lined sheet. Cover and let rise 30–40 minutes.
Heat oil to 350°F. Fry donuts 1–2 minutes per side until golden. Drain on paper towels.
Whisk glaze ingredients until smooth. Dip warm donuts into glaze and top with pecans and sea salt if desired.