In a bowl, whisk the egg yolks with the cornstarch and 2 tablespoons of the sugar until smooth and pale.

In a saucepan over medium-low heat, warm the remaining sugar, the milk, and the vanilla until warm and steamy but not boiling.

Slowly pour the warm milk into the yolk mixture while whisking constantly to temper the yolks.

Return everything to the saucepan and cook over medium heat, stirring continuously, until it thickens to a pudding-like texture. Once it bubbles, let it boil for 1 minute, then take it off the heat.

If there are any lumps, strain through a fine-mesh sieve. Whisk in the butter one tablespoon at a time until the cream looks glossy.

Press plastic wrap directly onto the surface and refrigerate until fully chilled.

Warm the milk to body temperature and stir in the yeast and 1 tablespoon of the sugar. Let stand 5–10 minutes until frothy.

In a stand mixer, combine the remaining sugar, eggs, and salt. Pour in the yeast mixture and stir to combine.

Add the flour and mix on low until you have a shaggy dough.

Slowly drizzle in the melted butter while the mixer is running. Increase to high speed and knead for 3–5 minutes until the dough looks smoother and more elastic.

Turn the dough out onto a floured surface and knead until smooth. Shape into a ball, place in a greased bowl, cover, and let rise until doubled, about 1–2 hours.

Punch down the dough, roll to 1/2-inch thickness, and cut rounds with a 2.5–3 inch cutter. Set on a lined baking sheet, cover, and proof for about 45 minutes.

Heat vegetable oil to 350°F (180°C). Fry 2–3 donuts at a time for 1–2 minutes per side until pale golden.

Transfer to a wire rack lined with paper towels and while still warm, roll in sugar.

Whip the heavy cream to stiff peaks and fold it into the chilled pastry cream gently in two additions.

Once the donuts are fully cooled, poke a hole in each with a chopstick or straw and pipe in the Bavarian cream until the donut feels heavy.