Preheat the oven to 325° F. Grease a cake pop pan (both parts) with cooking spray and set aside.
Whisk together sugar, oil, milk, sour cream, and egg in a large bowl. Whisk in flour, cocoa powder, baking soda, and salt until batter is well combined.
Scoop batter into the indentions of the cake pop pan (the part without the holes) to about ⅛-inch below the rim. Place the other pan on top and lock securely.
Bake in the preheated oven until an inserted toothpick comes out clean, about 8 minutes. Let cool for 5 minutes in the pan before removing donut holes onto a wire rack. Wipe the pan clean, re-grease as needed, and repeat with remaining batter two more times.
Whisk the powdered sugar, milk, and vanilla in a large bowl until icing is smooth. Transfer to a small microwave-safe bowl and heat in the microwave until warm, about 20 seconds. Thin with more milk as desired.
Use a fork to dip donut holes in icing, one at a time. Return donut holes to the wire rack to allow icing to set.