What animals and confections are each of the characters? Almost all of the strange creature in Donyatsu all seem to be a hybrid of some confection and some animal.


(From left to right) Ronya, Donyatsu, Bagel


(From left to right) Kumacaroon, Bamucougar, Morudonyatsu, Sakuwabuta


(From left to right) Menchiwawa, Korokkenn

What combination of animals and confections are each of the characters listed?
All of them seems to be portmanteau which combines the name of some kind of food (reflected in the shape/features of their bodies) and the name or sound made by some animal (reflected in the shape/features of their heads).


ローニャ (ro-nya): ロールケーキ/Swiss roll + ニャ/にゃ (Onomatopoeia for cat)
どーにゃつ (do-nyatsu): ドーナツ/Donut + ニャ/にゃ (Onomatopoeia for cat)
The name is written in Hiragana. For comparison purpose, ドーナツ in Hiragana is どーなつ.
ベーガル (be-garu): ベーグル/Bagel + (Unknown)
クマカロン (kumacaron): クマ（熊）/Bear + マカロン/Macaron1
1 Not to be confused with Macaroon.
バームクーガー (ba-muku-ga-): バウムクーヘン/Baumkuchen + ピューマ（クーガー2）/Cougar
2 In the disambiguation page, クーガー is a different name for ピューマ; ピューマ (Puma) seems to be more commonly used in Japanese.
もるどーにゃつ (morudo-nyatsu): Mold/モルド3 + ドーナツ/Donut + ニャ/にゃ (Onomatopoeia for cat)
3 モルド is more of a transcription of the English word "Mold", rather than a loan word.
ちくわぶた (chikuwabuta): ちくわぶ（竹輪麩）4/Chikuwabu + ぶた（豚）/Pig
4 Not to be confused with ちくわ（竹輪）/Chikuwa. Quoting from Wikipedia page of Chikuwabu: "Chikuwabu is often confused with the fish-based chikuwa, as they are similar in shape and name and are both common ingredients in oden. However, unlike chikuwa, chikuwabu is rarely eaten on its own."
メンチワワ (menchiwawa): メンチカツ5/Menchi-katsu + チワワ/Chihuahua
5 I linked to Menchi-katsu (ground meat cutlet), since it resembles the illustration best. メンチ (menchi) is a phonetically modified version of the word "mince" in English.
コロッケン (korokken): コロッケ6/Korokke + ケン（犬）/Dog
6 Not to be confused with クロケット/Croquette, although コロッケ/Korokke is a dish originates from クロケット/Croquette.  


Although not in the pictures in the question, there is also マチュマロ (machumaro), translated as marshmallow mouse, which made an appearance in chapter 3. However, the mice seem to be the only characters in the manga whose bodies don't resemble some kind of food.


マチュマロ (machumaro): マシュマロ/Marshmallow + チュウ (Onomatopoeia for mouse)


Source: http://donyatsu.jp/wp-content/themes/donyatsu/characters/img/characterimg12.gif


As the story progresses, more characters are introduced:


ウシフォン (ushifon): ウシ（牛）/Cow + シフォン/Chiffon cake


Source: http://www.square-enix.co.jp/magazine/yg/introduction/donyatsu/img/character12.jpg
まっちゃん (macchan): まっちゃ（抹茶）/Matcha
According to the official website, it seems to be a Matcha Donut Cat.


Source: http://donyatsu.jp/wp-content/themes/donyatsu/characters/img/characterimg8.gif
マルモチーター (marumochi-ta-): まるもち（丸餅）/Marumochi (lit. Round Mochi) + チーター/Cheetah  


Source: http://www.square-enix.co.jp/magazine/yg/introduction/donyatsu/img/character16.jpg

Marumochi is grilled before consumption, as seen in the picture below:


Source: http://www.ic-net.or.jp/home/ds-chizu/graphic/marumochimein2.jpg)
This explains the square pattern on its body.