Make the pastry cream first and store it in the refrigerator for up to 24 hours.

In a small bowl, add the warm milk and sprinkle the yeast on top; let it sit for five minutes, then mix.

Place the flour, sugar, and salt in the bowl of a stand mixer and whisk to combine.

Add the milk and yeast mixture, beaten eggs, orange zest, and vanilla. Attach a dough hook to the mixer and knead until combined. Scrape down the sides and bottom of the bowl.

Scatter butter cubes over the dough mixture and knead on low speed for 10 minutes until smooth and elastic.

Shape the dough into a smooth ball and place it in a lightly oiled bowl. Cover with plastic wrap and let it rest for 2-3 hours or until triple in size.

After the dough rises, transfer it to a lightly floured surface, punch down once, and knead a few times.

Flatten the dough, then roll it out into a rectangle about ½ inch thick.

Use a round cookie cutter or glass to cut out doughnuts about 3.5 inches in diameter.

Place the cut-out doughnuts on a baking sheet lined with parchment. Cover loosely with plastic wrap or a clean towel, and let rise for 1 to 1.5 hours or until they triple in size.

Heat oil in a deep pan or Dutch oven to 170-175°C (340-350°F).

Carefully drop the doughnuts into the oil, removing parchment with tongs. Fry the doughnuts in batches for about 2 minutes on each side.

Remove the doughnuts from the oil with a slotted spoon and drain on paper towels for a few minutes, then roll them in sugar while warm.

To fill the bomboloni, insert a small knife into the side of a doughnut to make a small incision. Fill a piping bag with the pastry cream and pipe it into each doughnut.

Serve immediately or store in plastic containers for 1-2 days.