For the Custard Filling: In a saucepan over medium heat, add the milk. Heat until hot but not boiling.
In a large bowl, combine the egg yolks, sugar, and vanilla. Whisk until smooth.
Add 1 tablespoon of the hot milk and immediately whisk to help temper the eggs for 1 minute.
As you whisk continuously, slowly add in the remaining hot milk.
Pour the mixture back into the saucepan over medium heat. Stir until thick, about 4-5 minutes.
Pour back into the large bowl, then stir in the butter. Cover with plastic wrap, pressing it directly on the surface of the custard.
Refrigerate until completely cooled, about 1-2 hours, or in the freezer for 20-30 minutes.
Whisk the heavy whipping cream until stiff peaks. Fold the whipping cream into the custard.
Transfer to a piping bag with a pointed tip. Set aside.
For the 'Donuts': Preheat oven to 350F. Line a baking pan with parchment paper.
Separate the Hawaiian sweet rolls into individual pieces. Brush each roll with melted butter.
Bake for 8-10 minutes, until golden and slightly crisp. Let cool completely.
Pipe the custard into the sides of each roll.
For the Caramelized Sugar Topping: Combine the sugar and water in a saucepan over medium high heat. Do NOT stir.
Cook until an amber-like color, swirling the saucepan occasionally, about 8-10 minutes.
Dip the tops of the 'donuts' into the caramelized sugar, then let cool 1 minute before enjoying.
