A burger with donuts for buns is called a Luther. You can get one any place that they sell donuts and burgers. If you ask them to make you one, and they won't make you one, you can offer (threaten?) to go behind the counter and make yourself one. Or you can ask them to give you a burger without a bun and cut a donut in half. Then you can ask them what their problem is, that they won't just sell you the damn Luther.
Seriously.
New Jersey eatery the Speakeatery will do you one better. Not only will they sell you a Luther they'll put onion rings inside the donuts. Yeah, you heard that right. MF onion rings in the MF donut.
Look at this bad boy. Or, if you prefer, nasty woman.
Check out their website here. Might be worth the trip to Jersey.