Preheat oven to 350ºF. Spray a donut baking pan with cooking spray and set aside.
In a medium mixing bowl or batter bowl, add the flours, sugar, baking powder, nutmeg, salt and orange zest. Mix until fluffy with a whisk. Add the eggs, milk and olive oil and mix until just combined.
Bake for 9-12 minutes, or until they tops are no longer tacky. Use a large zip top bag and add the confectioners sugar. Add a few donuts and close the top, shake gently to coat with sugar. Serve warm or at room temperature.