AFAIK, bagels and donuts don’t have cheese in them.
There is a Cheddar Cheese Bagel Twist.
are you saying they don’t make the donuts in the store?
In the 1990s they started baking in regional bakeries. Since then no new franchise had the ability to bake onsite. For preexisting franchises, most of them by now get their baked goods from the regional bakery. If you want to find a one that bakes onsite, look for old, big locations in low rent areas.