Preheat oven to 425 degrees. Spray a donut pan with cooking spray.
In a medium bowl stir together flour, sugar, baking powder, nutmeg, and salt. Add in buttermilk, egg, melted butter, and vanilla. Stir until combined. Gently stir in the sprinkles.
Spoon the dough into a plastic zip top bag for piping. This will make it very easy to get the dough nicely in the pan. If you don't have baggies you can just gently spoon. Evenly distribute the dough into the pan.
Bake for 7-8 minutes. Donuts should spring back to the touch. Cool in the pans for about 5 minutes before removing onto a wire cooling rack.
In a shallow dish combine powdered sugar, milk, and vanilla extract until smooth. Add fruity pebbles to another shallow dish. Dip donuts into the vanilla glaze coating all over one side. Press into the dish with cereal to coat the top. Repeat with all donuts. Best served immediately!