Step 1: Make the Dough
In a large bowl or stand mixer, combine warm milk, yeast, and a pinch of sugar. Let it sit for 5–10 minutes until foamy. Add the remaining sugar, eggs, butter, vanilla, lemon zest, flour, and salt. Mix until a soft, slightly sticky dough forms, then knead for 8–10 minutes until smooth and elastic. Place in a greased bowl, cover, and let rise in a warm spot for 1.5 to 2 hours, or until doubled.

Step 2: Make the Custard
In a saucepan, heat the milk just to a simmer. In a separate bowl, whisk the yolks, sugar, and cornstarch until smooth. Slowly pour the hot milk into the egg mixture while whisking constantly. Return everything to the saucepan and cook over medium heat, whisking, until it thickens—about 3–5 minutes. Remove from heat, stir in vanilla and butter. Press plastic wrap directly onto the surface and chill.

Step 3: Shape and Fry
Roll out the risen dough on a floured surface to about ½-inch thick. Cut out rounds (2.5–3 inches wide) and place them on a parchment-lined tray. Cover and let rise again for 30–45 minutes until puffy. Heat oil to 350°F (175°C) and fry a few at a time, about 1–2 minutes per side, until golden brown. Drain on paper towels, then roll in granulated sugar while warm.

Step 4: Fill ‘Em Up
Transfer the chilled custard to a piping bag with a round or Bismarck tip. Poke a hole in the side or top of each donut and pipe in that gorgeous vanilla custard until the bomboloni look (and feel) generously stuffed.