Prepare the dough: Mix the flour, sugar, vanilla sugar, and butter in a bowl or mixer. Mix well. Dissolve the yeast in lukewarm milk and gradually pour it into the flour mixture while mixing at medium speed. Add the eggs one at a time and finish by adding the salt. Cover the dough and let it rest for 30 minutes.

Make the vanilla custard: While the dough is resting, prepare the custard. Whisk the egg yolks and sugar until light and fluffy. Add the cornstarch and mix thoroughly. Heat the milk with the vanilla bean (or extract) in a OnePan 26 cm sauté pan over medium heat until it begins to steam. Gradually pour the hot milk into the egg mixture while whisking. Strain it back into the OnePan 26 and cook, stirring, until the custard thickens. Add the cold butter, mix, and let cool completely in the refrigerator for 1–2 hours.

Knead and proof: Knead the dough in a mixer for 10–15 minutes until smooth and elastic. Perform a windowpane test to check that the dough is ready. Shape it into a ball, place it in an oiled bowl, and cover. Let it proof in a warm place for 1 hour.

Shape the doughnuts: Lightly flour the work surface and turn out the dough. Divide it into portions weighing approximately 65 g each. Roll each piece into a smooth ball using a circular motion with your hand. Place the balls on parchment paper, lightly brush them with oil, and gently flatten them. Cover with plastic wrap and a towel and let them proof for another hour, until doubled in size.

Fry and fill: Heat oil to 180°C in a OnePan 26 over medium heat. Fry the doughnuts in batches until golden brown on both sides. Remove them with a slotted spoon and let them drain on a paper towel. Let them cool slightly, then use a piping bag to fill each doughnut with the chilled vanilla custard. Dust with powdered sugar if desired.

Serve: Enjoy these golden saffron doughnuts warm or at room temperature. They are perfect for the Christmas table or as a treat with a cup of coffee.