The character of Kevin Roberts is not a representation of a real person, just a 'typical' annoying person from the 1980s (we get this from the oversized-cellphone, fashion and the music he dances to).
The joke of the entire sketch is that the FBI shooting range is training cadets to quickly distinguish "good guys" from "bad guys", but you have annoying people like Kevin Roberts who aren't evil, but are irritating and people don't like them, so it is a moral dilemma whether or not to shoot them.
A lot of the things that Kevin Roberts says are egotistical and pretentious. He refers to himself as a "bitch", suggesting through outdated street slang that he is a tough guy. When he asks "can a bitch get a donut?" he is "the bitch" and is loudly demanding that an underling bring him a donut. Later in the sketch, someone does bring him a donut.
The lines he delivers are not jokes or puns, just absurd and build up an irritating character which is what some are finding funny.
The only other relevance I can see about asking for a donut is that at the end of the sketch Kevin is revealed to be the designer of the FBI shooting range, so is presumably a past FBI agent himself. It is a widely-used generalisation that US police like donuts.