Pre-heat oven to 325 degrees and spray doughnut pan lightly with cooking spray.
In a large bowl, whisk together flour, cocoa powder, baking powder, salt, brown sugar, and granulated sugar.
In a separate small bowl, whisk eggs with milk, vanilla, and melted butter.
Gently stir wet ingredients into the dry ingredients until just combined, taking care not to over-mix.
Fill each cavity of prepared doughnut pan about ¾ of the way with batter. Bake for 8-10 minutes, until doughnuts are light and springy to the touch. Let cool in pan for a couple minutes before removing to baking rack to cool completely.
Spoon caramel sauce over each of the doughnuts and top with chopped Milky Way bars. Let rest for a bit so caramel can harden.