Whisk milk and yolks in a saucepan. Add sugar, cornstarch, and vanilla, whisking until smooth. Cook over low heat, stirring, until thick. Remove from heat, whisk in butter, cover with plastic wrap, and chill.

Mix milk, yeast, and sugar in a mixer bowl. Let stand for 10 minutes. Add flour, then egg, butter, and salt. Knead 10 minutes until smooth and elastic. Cover and let rise until doubled, 1 hour at room temperature or overnight in the fridge.

Roll dough on a floured surface to ½ inch/1.25 cm thick. Spread one-third of the pastry cream, fold in half, and roll again to ½ inch/1.25 cm. Cut into 1–2 cm strips, twist, and coil into swirls. Place on parchment-lined sheets and rise until puffy.

Preheat the oven to 350°F/175°C (static). Press a small well in each bun and fill with remaining cream. Bake for 25 minutes or until golden.

Boil water and sugar until dissolved. Brush hot syrup over bun sides (not centers) right after baking. Cool before serving.