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Heat the heavy cream in a medium saucepan over medium heat until it begins to gently simmer. Meanwhile, whisk egg yolks, sugar, and vanilla in a bowl. Slowly add the hot cream to the yolk mixture while whisking continuously to prevent curdling. Return to the pan and cook over low heat until thickened. Remove from heat and chill for at least 30 minutes.
Preheat your oven to 350°F (175°C). In one bowl, whisk together the flour, sugar, and baking powder. In a separate bowl, stir the milk, egg, vanilla, and melted butter until well combined. Combine wet and dry ingredients until smooth. Spoon the batter into a greased donut pan, filling each mold approximately three-quarters full. Bake for 12–15 minutes. Let them cool on a wire rack.
After the donuts have cooled, fill each one with the chilled custard using a piping bag, inserting the tip into the side or bottom.
Evenly sprinkle granulated sugar on top of each filled donut. Then, gently caramelize the sugar with a kitchen torch until it turns golden and crisp. Let set for 1–2 minutes.