In a large bowl, combine warm milk, a pinch of sugar, and yeast. Let sit for 5–10 minutes until foamy. If there’s no reaction, the yeast may be inactive or the milk too hot.

Whisk in eggs, sugar, vanilla extract, and orange zest. Add flour and salt. Scatter cubed butter over the mixture and knead until smooth, elastic, and slightly tacky. Perform the windowpane test to ensure proper gluten development.

Place dough in a lightly oiled bowl, cover, and let rise for 2–3 hours until tripled in size.

Whisk yolks and sugar until pale. Add cornstarch and mix until smooth.

Heat milk and vanilla until small bubbles form (do not boil). Slowly pour hot milk into the egg mixture while whisking. Add salt and orange zest.

Return mixture to low heat and cook 4–6 minutes, whisking constantly until thick enough to coat the back of a spoon. Strain into a container, cover with plastic wrap touching the surface, and chill 1–2 hours.

Punch down dough and roll to ½-inch thickness. Cut into 3.5-inch circles. Place on parchment-lined tray and proof 1–2 hours until tripled in size.

Heat oil to 350°F (176°C). Fry 2–3 donuts at a time until golden brown on both sides. Drain on paper towels.

While still warm, roll in sugar and transfer to a wire rack.

Once cooled, cut a small slit in each donut. Pipe chilled pastry cream inside. Serve immediately for best texture.