Preheat the oven to 325 degrees F. Spray a donut pan with cooking spray, use a paper towel to lightly spread/remove excess spray.
In a large bowl combine the flour, cocoa powder, sugar, baking powder and salt.
In another bowl combine the milk, egg, vanilla, and oil. Stir the dry ingredients into the wet ingredients, mix just until combined.
Transfer the batter to a large piping bag or use a ziploc bag with one corner cut off. Pipe the batter into the donut pan, filling each donut hole about 2/3 full.
Bake the donuts for 10 minutes, or until a toothpick comes out clean. Remove from the oven and let the donuts sit in the pan for 10 minutes before moving them to a wire rack.
Combine the marshmallow fluff and peanut butter in a small bowl and mix until smooth. Spread this mixture evenly on the donuts. Top with peanuts and drizzle with caramel sauce.