In a small bowl, combine the warm milk and yeast. Let it sit for about 5 minutes until frothy.

In a large mixing bowl, combine flour, sugar, and salt. Make a well in the center and add the yeast mixture, eggs, butter, and vanilla extract. Mix until a dough forms.

Knead the dough on a floured surface for about 5-7 minutes until smooth.

Place the dough in a greased bowl, cover with a kitchen towel, and let it rise in a warm place for about 1 hour or until doubled in size.

Once the dough has risen, punch it down and roll it out to about 1/2 inch thickness. Cut out circles using a round cutter (about 2-3 inches in diameter).

Place the circles on a floured baking sheet, cover, and let them rise for another 30 minutes.

While the dough is rising, prepare the cream filling. In a saucepan, heat the milk over medium heat until just simmering.

In a separate bowl, whisk together egg yolks, sugar, cornstarch, and vanilla. Slowly pour the hot milk into the egg mixture while whisking constantly.

Return the mixture to the saucepan and cook over medium heat, stirring constantly, until thickened (about 5 minutes). Remove from heat and stir in the butter. Transfer to a bowl, cover with plastic wrap, and chill in the refrigerator until ready to use.

In a deep pot, heat oil to 350°F. Carefully fry the dough circles in batches until golden brown, about 2-3 minutes per side.

Remove and drain on paper towels. Once cooled slightly, fill a piping bag with the chilled cream filling and inject it into each bombolone.

Dust with powdered sugar before serving.