Why don't filled doughnuts have compressed dough around the filling?
Donut dough is extremely fluffy, it's mostly air. The filling takes up a very small volume in the donut. The dough does get squished a bit, but that doesn't look all that different from non-squished dough. 

If you don't believe me, take an unfilled donut, or a roll of fluffier bread, tear out a piece so you can see the inside, then squish the whole roll/donut between your fingers until it's 1-2 cm less tall than without the pressure. That's what compressed yeast dough looks like. 

The baked donuts are simply injected with the already prepared filling from a nozzle, there are no secrets to it.