01 - Combine flour, sugar, yeast, and salt in a large bowl. Whisk together lukewarm milk, eggs, vanilla extract, and lemon zest in a separate bowl. Mix wet and dry ingredients, then add softened butter. Knead for 8-10 minutes until smooth and elastic. Cover and let rise in a warm place for 1-1.5 hours, or until doubled in size.
02 - Heat milk with lemon zest in a saucepan until just simmering. Whisk together egg yolks, sugar, and cornstarch until smooth. Gradually pour hot milk into yolk mixture, whisking constantly. Return mixture to saucepan and cook over medium heat, stirring, until thickened about 2-3 minutes. Remove from heat, stir in vanilla and butter. Transfer to a bowl, cover with plastic wrap touching the surface, and chill.
03 - Punch down risen dough and roll out on floured surface to 5/8 inch thickness. Cut rounds using 2.5-3 inch cutter. Place on baking sheet, cover, and let rise 30-40 minutes.
04 - Heat oil in deep pan to 340°F. Fry bomboloni in batches, 2-3 minutes per side, until golden brown. Drain on paper towels and roll in granulated sugar while still warm.
05 - Place chilled pastry cream in piping bag fitted with long nozzle. Poke hole in each bombolone and pipe in cream generously.