Pour 2 cups of apple cider into a small saucepan and bring to a simmer over medium heat. Allow the cider to reduce to approximately 1/2 cup, which typically takes about 20-25 minutes. The reduced cider should be thick and syrupy with intensified apple flavor. Transfer to a heat-safe container and refrigerate until completely cooled.
In a large mixing bowl, whisk together the flour, sugar, baking powder, baking soda, cinnamon, nutmeg, and salt.
In a separate bowl, whisk the eggs, melted butter, vanilla extract, buttermilk, and cooled reduced apple cider until well combined.
Gradually add the wet ingredients to the dry ingredients, stirring just until combined. Do not overmix - stop as soon as no dry flour is visible.
Cover the dough with plastic wrap and refrigerate for at least 1 hour, or overnight if you're planning ahead.
If using soft caramel candies, cut each into quarters. If using caramel sauce, place in the refrigerator until firm enough to scoop into small portions (about 1/2 teaspoon each).
Preheat your oven to 350°F (175°C) and grease a donut pan or muffin tin.
Divide half the dough among the cups, press a caramel piece into the center of each, then top with remaining dough to seal the caramel inside. The dough should be about 3/4 full in each cavity.
Bake for 15-18 minutes until the donuts are golden brown and spring back when lightly touched. A wooden toothpick inserted near (not in the caramel) should come out clean.
Allow to cool in the pan for 5 minutes before carefully removing.
In a small bowl, mix the sugar and cinnamon for the coating. Melt the butter in another bowl.
While the donuts are still warm (but not hot), brush each completely with melted butter, then roll in the cinnamon-sugar mixture until fully coated.