Add yeast to warm water. Whisk until dissolved and wait 5-10 minutes for yeast to activate.

Heat milk and add butter; stir until butter melts.

Place all dry ingredients in a large bowl. Add all wet ingredients and mix until combined; the mixture will be lumpy.

Cover the bowl with plastic wrap and let sit in a warm place until doubled in size (approximately 1 hour).

Once doubled, knead dough for 5 minutes until smooth and elastic.

On a floured surface, roll dough out to a 1/3" thickness and cut with an oval cookie cutter. Place on a floured parchment-lined tray, reserving half.

Cut reserved ovals in half, brush water on the top third, and place half-ovals on the top third of each oval.

Cover with plastic wrap and let rise for 1 hour. Save dough remnants for antennae and legs.

After the second rise, use a sharp knife to slit each half-oval.

Heat oil to 370°F over medium heat. Fry 4 donuts at a time for 1 minute on each side using a chopstick to flip.

Retrieve donuts with a frying sieve and place on a cooling rack lined with paper towels.

For the filling, combine all filling ingredients in a saucepan and whisk continuously over low-medium heat until thickened. Chill.

Once the pastry cream has cooled, whip heavy cream to firm peaks and fold into the cream. Pipe into donuts using a piping bag.

For the glaze, melt chocolate and butter over low heat, stir in icing sugar and water until combined. Dip tops of donuts into the glaze.

For the caramel ridges, microwave caramels until pliable, roll thin, and slice into strips. Adhere them to the donuts.

Paint the cockroaches with black food color, adding details and shading with a paintbrush. Insert fried strips for antennae and legs.