In a small bowl, combine warm milk and yeast. Let sit for 5-10 minutes until foamy.

In a stand mixer bowl, whisk flour, sugar, and salt. Add the yeast mixture, eggs, citrus zest, and vanilla.

Knead with a dough hook on low speed until combined, then gradually add softened butter cubes.

Continue kneading for 10 minutes until the dough is smooth, elastic, and slightly sticky.

Place in an oiled bowl, cover, and let rise in a warm spot for 2-3 hours until tripled in size.

Punch down the risen dough and roll out on a floured surface to 1/2 inch thickness.

Cut out 3.5-inch rounds using a cookie cutter or glass.

Place rounds on parchment paper squares, cover loosely, and let rise for another 1-1.5 hours until puffy.

Heat oil in a deep pot to 340-350°F (170-175°C).

Carefully drop donuts into the oil (with the parchment paper, then remove paper with tongs).

Fry for 2 minutes per side until golden brown. Drain on paper towels.

While still warm, roll the donuts in granulated sugar.

Prepare the pastry cream by whisking yolks, sugar, and cornstarch, then tempering with hot milk and thickening over heat.

Once both donuts and cream are cooled, poke a hole in the side of each donut with a knife.

Pipe the chilled pastry cream into the center until full. Serve immediately.