To make the pastry cream: Place the milk in a saucepan, reserving 6 tablespoons. Add half the sugar and the vanilla bean, split open and scraped, adding both the seeds and pod to the milk. Heat until it just starts to boil, then remove from heat and let steep for 5 minutes. Meanwhile, in a large bowl, mix the remaining sugar with the reserved milk.

Add the cornstarch and whisk well until smooth. Add the whole egg and the 3 yolks, mixing thoroughly. Gradually add a ladleful of the hot milk (strained to remove the vanilla pod) to the egg mixture, whisking quickly to prevent the eggs from cooking.

Repeat with the rest of the milk, then pour the mixture back into the saucepan. Cook over medium heat, stirring constantly, until it starts to boil. Turn off the heat and whisk vigorously until the cream thickens to your desired consistency. Transfer to a bowl and cover with plastic wrap, pressing it directly onto the surface to prevent a skin from forming.

Once cooled, refrigerate until ready to use.

To make the buñuelos: Place the milk (add a little extra to make up for evaporation) in a saucepan with a couple of pieces of clean lemon peel (yellow part only), a cinnamon stick, and a teaspoon of anise seeds. Heat gently until it starts to boil, let it boil for 5 minutes, then turn off the heat, cover, and let steep for another 5 minutes.

Strain the milk and measure to ensure you have the exact amount needed. Pour it into a saucepan and heat over medium. Add the butter in pieces, salt, and sugar. When it comes to a boil, add the flour all at once and stir vigorously with a wooden spoon until the dough pulls away from the sides. Cook, stirring constantly, for 2 minutes.

Remove from heat and continue stirring for a couple more minutes to cool the dough slightly. Add 3 eggs, one at a time, mixing well after each addition. Lightly beat the fourth egg and add it gradually, mixing until the dough is thick but drops slowly from the spoon.

Optionally, add the baking powder and mix well. Heat plenty of oil in a skillet over medium-high heat until hot. Scoop portions of dough with two teaspoons and drop them into the oil. Fry the buñuelos until golden brown, then remove and immediately roll them in sugar (the sugar won’t stick if they cool first). Let cool, then fill.

Once the pastry cream is cold, transfer it to a piping bag. Make a small cut in each buñuelo and fill until you feel them get heavy and see the cream almost coming out (you can also fill them with a spoon by cutting them almost in half). Arrange on a serving tray and enjoy. Try them—you’ll love them!