Step 1: In a small saucepan, heat milk over low until temperature is slightly warmer than room temperature
Step 2: Stir in sugar and pour into the bowl of a stand-mixer fitted with the dough hook attachment.
Step 3: Sprinkle over yeast over warm milk mixture and set aside until foamy bubbles appear on the surface, about 10 minutes.
Step 4: Beat in butter, egg, vanilla and salt until smooth.
Step 5: Add in flour and beat on medium high speed until a smooth dough pulls away from the sides of the bowl cleanly and climbs the dough hook, about 5 minutes.
Step 6: Form dough into a ball and place in a well-oiled bowl. Cover with a damp dish towel and place in a warm place until dough doubles in size, about 1 hour.
Step 7: 4. Prepare a baking sheet lined with parchment paper. Roll out dough onto a lightly floured surface until 3/4-inch thick. Using a floured 3-inch round cutter, press into dough and twist to release dough from sticking to cutter. Place dough rounds on the prepared baking sheet. Reroll dough scraps one at a time and repeat. Cover dough rounds with kitchen towel and set aside in a warm place until dough doubles in size, about 1 hour.
Step 8: Prepare a baking sheet lined with a few layers of paper towel.
Step 9: Pour enough oil into a large pot until 3- to 4-inches deep.
Step 10: Set pot with a clip-on thermometer and heat until temperature reaches 350ºF and adjust to maintain 350ºF temperature.
Step 11: Working in batches of 3 or 4, fry doughnuts until golden, about 1 minute per side, for a total of about 2 minutes. Using a slotted spoon, carefully transfer fried doughnuts to prepared baking sheet. Cool.
Step 12: Combine all filling ingredients in a double boiler. Heat over high while stirring until mixture thickens enough to coat the back of a spoon, about 5 minutes.
Step 13: Place mixture in the refrigerator until chilled, about 2 hours.
Step 14: Transfer chilled filling into a piping bag.
Step 15: Poke a hole in the side of one doughnut using the back of a wooden spoon until you reach the centre of the doughnut and pipe filling into doughnut.
Step 16: Repeat with remaining doughnuts.
Step 17: Dust doughnuts with icing sugar before serving.
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