Prepare the vanilla custard by combining milk, sugar, and vanilla extract in a saucepan over medium heat, stirring until dissolved.

Mix cornstarch with a bit of milk and slowly add to the saucepan, stirring until thickened (5-7 minutes). Refrigerate custard.

Combine yeast, sugar, and warm water in a small bowl; let sit for 10 minutes until frothy.

In a large mixing bowl, combine the yeast mixture, egg yolks, whole egg, milk, zest, and juice. Mix in flour until sticky.

Add softened butter to the dough and blend until smooth and slightly elastic for about 5 minutes.

Knead dough for approximately 5 minutes on a floured surface until smooth and not sticky.

Place the kneaded dough into a buttered bowl, cover, and let it rise in a warm spot until doubled (1-2 hours).

Roll out the dough to 3/4 inch thickness and cut into circles; let rise on parchment-lined sheet for 45 minutes.

Heat vegetable oil in a deep pot to 350°F; prepare your area for frying.

Fry donuts in batches for 1 minute per side or until golden brown; drain on paper towels.

Fill donuts with chilled custard or jelly using a piping bag and dust with powdered or cinnamon sugar.