Preheat oven to 375 degrees. Spray donut pans with nonstick cooking spray.
In a mixer or food processor, beat together cream cheese, sugar and vanilla extract until smooth. Transfer to a large Ziploc bag or piping bag and cut the end of the tip off.
In a large bowl, combine cake mix, pumpkin puree, water and pumpkin pie spice. Mix well. Transfer to large Ziploc bag or piping bag and cut the end of the tip off.
1 box Spice Cake Mix, 1 can Pumpkin Puree, 2 Tablespoons Water, 1 teaspoon Pumpkin Pie Spice
Squeeze pumpkin mixture into prepared donut pans, filling about 1/3 full. Squeeze cheesecake mixture on top of pumpkin mixture to reach 1/2 full. Using a knife, swirl the cheesecake mixture into the pumpkin.
Bake donuts in preheated oven for 8-9 minutes or until set. Let cool in pan for 1-2 minutes. Then, transfer to wire cooling rack.