First make the filling. Gently heat the milk until just below boiling point. In a separate bowl mix the egg yolks, sugar, cornflour and the vanilla seeds until combined. Remove the milk from the heat and gradually add to the yolk mixture, stirring all the time. Pour the mixture back into the pan and cook over a medium heat for about 5 minutes, stirring continuously, until smooth and thick. Remove from the heat, tip into a bowl, cover the surface with cling film and allow to cool completely.
Put the butter into a medium-sized pan with 225ml (8fl oz) water and heat gently to melt the butter. Once melted, increase the heat and bring to the boil. Remove from the heat, add the flour and beat the mixture with a wooden spoon until you get a smooth, shiny ough that leaves the sides of the pan. Top into a mixing bowl and allow to cool for 5 minutes.
Gradually add the eggs and continue to beat until you have a smooth dough that falls reluctantly from the spoon.
Pour the oil into a medium-sized, deep saucepan – the oil should be about 5cm (2in) deep – and heat the oil to 180C / 350F. Quickly dip 2 teaspoons into the hot oil, then use to drop spoonfuls of dough into the hot oil.
Fry in batches of 2 – 3, making sure you do not overcrowd the pan. Fry for 3 - 5 minutes, or until golden and puffed up.
Remove with a slotted spoon and drain on kitchen paper. Continue frying until all of the doughnuts are cooked. Allow to cool completely.
Whip the cream to soft peaks, then fold through the custard. Split the bunuelos open and spoon or pipe the custard into the middle. Serve dusted with icing sugar.