01 - In a large bowl, combine flour, sugar, yeast, and salt. In another bowl, whisk together lukewarm milk, eggs, vanilla extract, and lemon zest. Mix wet and dry ingredients, then add softened butter. Knead for 8–10 minutes until smooth and elastic. Cover and let rise in a warm place for 1–1.5 hours, or until doubled in size.
02 - In a saucepan, heat milk with lemon zest until just simmering. In a bowl, whisk together egg yolks, sugar, and cornstarch until smooth. Gradually pour hot milk into yolk mixture, whisking constantly. Return mixture to the saucepan and cook over medium heat, stirring, until thickened (about 2–3 minutes). Remove from heat, stir in vanilla and butter. Transfer to a bowl, cover with plastic wrap touching the surface, and chill.
03 - Punch down the risen dough and roll out on a floured surface to 1/2 inch thickness. Cut out rounds using a 2.5–3 inch cutter. Place on a baking sheet, cover, and let rise 30–40 minutes. Heat oil in a deep pan to 340°F. Fry bomboloni in batches, 2–3 minutes per side, until golden. Drain on paper towels and roll in granulated sugar while still warm.
04 - Place chilled pastry cream in a piping bag fitted with a long nozzle. Poke a hole in each bombolone and pipe in the cream generously.