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