Whisk egg yolks, cornstarch, sugar, vanilla, and salt until smooth.
Heat milk until steaming (not boiling).
Slowly whisk hot milk into the egg mixture, then return everything to the pot.
Cook over medium-low heat, stirring constantly, until thickened (2–3 minutes).
Transfer to a bowl, cover directly with plastic wrap, and chill completely.
Shape & Fry the Donuts
Roll dough to ¾–1 inch thickness. Cut rounds with a 2¾–3-inch cutter.
Place on parchment, cover loosely, and let rise 30–45 minutes.
Heat oil to 340°F (170°C).
Fry donuts in batches for 1½–2 minutes per side until golden.
Drain on paper towels and cool completely.