Preheat the oven to 350°F. Grease a 6-cavity donut pan.
To make the donuts, combine all the dry ingredients in a mixing bowl and stir together until well combined. Add the wet ingredients to the bowl and use a hand mixer to combine until smooth.
Fill each well of the donut pan two-thirds full of the batter. Bake for about 20 minutes, until a toothpick inserted in the center of a donut comes out clean. Let the donuts cool in the pan before glazing them.
To make the glaze, place the coconut milk, sweetener, and chopped chocolate in a double boiler or a heat-safe bowl set over a pan of simmering water. Heat on low, stirring, just until the chocolate melts. Remove from the heat. Add the vanilla and stir well to combine. Dip the cooled donuts in the glaze.
Store extras in an airtight container in the refrigerator for up to 3 days.