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Make the Dough for the Donuts:
In a small saucepan, warm the milk and butter over low heat until the butter melts. Remove from heat and let it cool until lukewarm.
In a large bowl, combine the flour, sugar, yeast, and salt. Make a well in the center and add the warm milk mixture, eggs, and vanilla extract.
Mix until a dough forms, then knead on a floured surface for about 5-7 minutes until smooth and elastic.
Let the Dough Rise:
Place the dough in a greased bowl, cover with plastic wrap or a kitchen towel, and let it rise in a warm place until doubled in size, about 1-2 hours.
Make the Custard Filling:
In a medium saucepan, combine the milk, sugar, cornstarch, and salt. Whisk until smooth and cook over medium heat until it thickens, stirring constantly.
In a small bowl, whisk the egg yolks. Once the milk mixture is thickened, gradually pour a small amount into the egg yolks while whisking constantly to temper them. Then pour the egg mixture back into the saucepan, whisking continuously.
Cook for another 1-2 minutes until thickened. Remove from heat, stir in the butter and vanilla extract, and let it cool. Transfer to a piping bag or bowl and refrigerate until ready to use.
Shape the Donuts:
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