Pour almost all of the milk into a saucepan and heat over medium heat. Set aside a small amount of the milk for later. While the milk is heating, peel strips of lemon zest, being careful not to include the white part, as it can be bitter. Add the lemon peel to the milk.

Do the same with the orange: peel strips of zest without the white part and add them to the milk.

Add the cinnamon stick and sugar to the milk, stir to dissolve the sugar, and heat over medium until it starts to boil. Then turn off the heat and let the milk steep for 10 to 15 minutes.

In a large bowl, add the cornstarch and the reserved milk. Mix until smooth with no lumps, then add the vanilla extract and mix it in.

Strain the infused milk into another saucepan, add the milk and cornstarch mixture, and cook over medium heat, stirring constantly, until you get a creamy mixture. Pour the mixture into a dish, spread it out evenly, and cover with plastic wrap to prevent a skin from forming. Let it cool to room temperature, then refrigerate for at least 6 hours or overnight for best results.

Heat a generous amount of oil in a skillet. Remove the chilled mixture from the fridge and cut it into portions. Dredge each piece in flour (you can use all-purpose flour, cornstarch, or your choice), then dip in beaten egg to coat all sides, and fry over medium heat. Cook until golden on both sides, then transfer to a tray lined with paper towels to absorb excess oil.

Finally, roll the leche frita pieces in sugar and they're ready to eat!