In theory, yes you can. And I used to cook my doughnuts this way. But, after a near almighty disaster deep-frying using a saucepan in 2020, I now wholeheartedly do not and will not, recommend deep frying without a temperature controlled deep fat fryer. I can, hand-on-heart, tell you that investing in an in-expensive thermostatically controlled deep fat fryer is a very wise decision. It's a much safer way to make fried doughnuts or any fried food. If I cannot talk you out of using a saucepan, please take very good care and read the advice of the professionals before you start.