Dough (20 min, then overnight): Knead flour, sugar, yeast, salt, eggs, milk and zest for 8 minutes, then add the butter in pieces and knead 8 minutes more until glossy. Cover and refrigerate overnight.
Custard (15 min plus chilling): Heat milk and vanilla to steaming. Whisk yolks, sugar and cornstarch, pour on the hot milk while whisking, return to the pan and cook, whisking, until it boils and thickens, 1 minute more. Whisk in the butter, press plastic onto the surface and chill completely. Before filling, beat it smooth and fold in the whipped cream.
Shape (15 min): Divide the cold dough into 12 pieces of about 70 g and roll into tight balls on an unfloured counter. Set on squares of floured parchment.
Proof (2 to 3 hr): Cover loosely and proof until nearly doubled and very airy.
Fry (20 min): Heat 8 cm of oil to 175C (350F). Lower the doughnuts in on their parchment (peel it off as they float), 3 at a time, and fry 2 1/2 minutes a side until deep golden with a pale ring around the middle. Drain, then roll in sugar while warm.
Fill (10 min): When cool, poke a hole in the side with a knife and pipe in custard until each one feels heavy.
Tips
A thermometer is non-negotiable: too cool and they soak oil, too hot and the inside stays raw.
For Venetian frittelle, fold raisins and pine nuts into a softer dough and drop spoonfuls into the oil.