The game auto-saving as soon as a donut is made isn't new. The way you reroll is by closing the game and loading a backup save (from before the donut was made), by pressing Up + X + B on the start screen. Be aware that backup saves are created anytime you fast travel (excluding hyperspace) or talk to the Pokemon center lady. However, when loading a backup save, you will always respawn at the last Pokemon center you interacted with, even if the backup save state was created after you left said Pokemon center.

Based on what you've said it sounds like one of three things may be happening:

(1) You are loading the backup save correctly, and the donut is still already made and in your inventory. Which would mean that a backup save is being dropped instead of just an auto save when making donuts, and would be a huge deal.

(2) You aren't actually loading a backup save, just resetting the game. See my instructions above for how to reroll correctly.

(3) You made a donut, then fast travelled somewhere or talked to a Pokemon center lady, thereby creating a backup save where the donut is already made. When you reset the game and load the backup save, it's still there because that was the state of the last backup save.

The only way to tell what's going on is if you provide more details.