Did Brock Really Say “Jelly-Filled Donuts”?

Yes. It is one of the few famous anime lines that turns out to be exactly what everyone remembers, and the reason it is funny is that the picture disagrees with it.

The line

In the episode "Primeape Goes Bananas", in the 4Kids English dub, Brock says: "These donuts are great! Jelly-filled are my favorite! Nothing beats a jelly-filled donut!"

He is holding onigiri. Rice balls, which is to say about as far from a jelly doughnut as a food can get while still fitting in a hand.

Why it happened

4Kids localized aggressively, and the goal was to make the show feel domestic to American children who in the 1990s were unlikely to recognize onigiri.

In other episodes the studio went further and changed the animation so the words and the image agreed. That is the part that makes this specific scene notable: here they changed only the dialogue. The frames were left alone, so the finished English episode shows a boy holding obvious rice balls while insisting at length that they are doughnuts.

Where this sits among dub problems

This site keeps running into official English lines that have no Japanese counterpart, and they are not all the same thing. Goku's "hope of the universe" speech is invented writing, a translator giving a character a bigger register than the original had. The Sailor Moon dub's "cousins" is a rewrite of what two characters are to each other, done to avoid depicting something.

This one is a third kind, and the mildest: a substitution that a viewer can see is false while they are watching. Nobody is misled about the plot and nothing about a character changes. What breaks is the show's claim to be describing the thing on screen, which is a small failure repeated until it became a meme.

The joke outlived the policy

The Pokémon Company took the dub over from 4Kids in 2006. The doughnuts did not stop, because by then they had stopped being a mistake and become a reference: in the 2019 film Mewtwo Strikes Back Evolution, the English version has Brock describe onigiri as his "famous jelly doughnuts", and the subtitles carry the joke too.

Which is the same ending as "It's over 9000". An error survives long enough to become the thing the audience shows up for, and the official product ends up quoting its own mistranslation on purpose. Correcting it at that point would read as the error.