Dough (20 min plus 1 hr 30 min): Knead flour, sugar, yeast, salt, zests, eggs, milk and vanilla 5 minutes, then knead in the butter 8 minutes more until smooth and soft. Cover and rise until doubled, about 1 1/2 hours.
Shape (15 min): Divide into 10 pieces (about 75 g). Roll into tight balls, then into short ovals, and set on lined trays.
Proof (1 hr): Cover and proof until doubled.
Bake (15 min): Bake at 180C (350F) for 15 minutes until golden. Boil the sugar and water for the glaze and brush it over while hot. Cool completely.
Cream (5 min): Whip the cream with the powdered sugar and vanilla to firm peaks.
Fill (10 min): Slice each bun down the top, almost through. Open it like a mouth, pack in cream, and smooth the top flat with a spatula. Dust with powdered sugar.
Tips
Fill just before eating; the bun softens under the cream.