As I recall the stories from when I was younger, the origin of Fat Tuesday/Paczki had to do with bakeries wanting to use up their eggs, butter, cream, etc. prior to Lent since fewer of those items would be in demand. They came up with the idea of the Paczki as a way to do that. Whether what you get at your typical grocery store is any different from a regular jelly donut probably depends on what tradition that store follows and where you live. Have lived in some parts of the country that have no idea what a Paczki is.