Preheat oven to 350°F/180°. Grease a donut pan with oil or butter. Set aside.
Make the donuts: Whisk together the flour, cocoa powder, baking powder, baking soda, and salt in a large bowl. Set aside.
In a medium bowl whisk egg with sugar until well combined. Add milk, yogurt, melted butter and vanilla extract, and whisk until combined. Pour into the flour mixture and mix until just combined. The batter will be thick.
Fill donut cavities with batter ¾ way full using a spoon or a piping bag (much easier). Cut a corner off the bottom of the bag and pipe the batter into each donut cup.
Bake for 9–10 minutes or until a toothpick inserted into the center of the donuts comes out clean. Allow to cool for 5 minutes in pan, then remove donuts from pan and transfer to a wire rack. Allow to cool completely before glazing.
Make the chocolate glaze: Melt the chocolate, heavy cream, and butter gently in the microwave (in 30-second intervals, stirring in between) or a double boiler until smooth. Dip the tops of the donuts into the chocolate glaze, and place on a cooling rack to set.
Donuts are best eaten the same day or keep them for up to 3 days in the refrigerator.