In a small bowl, combine warm milk with granulated sugar, then sprinkle in active dry yeast and let it bloom for about 5-10 minutes or until frothy.

In a large mixing bowl, whisk together all-purpose flour, eggs, melted butter, and vanilla extract. Gradually add the yeast mixture, stirring until a dough forms.

Transfer the dough to a lightly floured surface and knead for about 8-10 minutes until smooth and elastic.

Shape the dough into a ball, place it in a greased bowl, and cover it with a damp cloth. Allow it to rise in a warm area for about 1-2 hours, or until it has doubled in size.

Once risen, gently punch down the dough to release excess air, then roll it out on a floured surface to about ½ inch thick. Use a round cutter to cut out circles.

In the center of each round, place a dollop of pastry cream. Fold the edges of the dough over the cream and pinch to seal tightly.

Place the filled bomboloni on a floured baking sheet with space between each. Cover them loosely with a clean kitchen towel and allow them to rest for about 30 minutes.

In a deep pot, heat vegetable oil to 350°F (175°C). Carefully place the doughnuts in the hot oil, frying them for about 2-3 minutes on each side.

Using a slotted spoon, remove the bomboloni from the oil and drain on paper towels. Allow to cool for a few minutes, then fill each bomboloni with pastry cream.

Finally, dust generously with confectioners' sugar to give them that irresistible sweet finish.