In a medium saucepan, combine 1/2 cup milk and 1 cup heavy cream. Heat over medium heat, stirring constantly until almost boiling. Remove from heat and stir in vanilla extract; set aside.

In a large bowl, whisk together egg yolks until smooth and add remaining 1/2 cup milk, mixing well. Gradually sift in flour, whisking until smooth, then add sugar. Slowly pour in hot milk mixture while whisking constantly.

Strain the combined mixture back into the saucepan and heat over medium, stirring constantly until it thickens. Transfer pastry cream to a bowl, cover with plastic wrap, and refrigerate until cool.

In a mixer, combine bread flour, sugar, and yeast. Add butter, orange zest, vanilla extract, and eggs. Mix on low while adding warm milk until a dough forms.

Knead until smooth, then place in a greased bowl, cover, and let rise in a warm place until doubled in size (1 1/2-2 hours).

Roll out the dough and cut into circles. Arrange on parchment-lined baking sheets. Cover and let rise again until puffy (1-2 hours).

Heat oil in a pot to 350°F. Fry donuts until golden brown, about 2-3 minutes per side. Drain on paper towels and roll in sugar while warm.

Fill donuts with cooled pastry cream using a piping bag.