Place the yeast, 40ml milk and sugar in the Thermomix bowl and set to 2 min/37°C /speed 1. Add the flour, hot milk, butter, eggs, vanilla and salt and for 6 sec/speed 6. Then 3 min/. It will be quite a sticky dough. Place in a very large bowl (it will swell up high) and cover and allow to rise for 1.5 hours or until triple in size.
While it is rising, make the creme patissiere. Place all ingredients in the Thermomix bowl for 7 min/90°C/speed 4. Place in a bowl and place cling film on top touching the surface so that a skin doesn't form.
Punch down the dough when it is ready and flour a surface and roll the dough out until an inch thick. Cut out rounds with a 6cm/2.4 inch cutter placing them apart about an inch and allow to rise for 30 minutes.
Heat oil to 180°C in a large pot and add three donuts at a time to the oil. Keep checking the oil temperature and adjust it up and down to keep it at 180°C. Place on a double paper towel lined tray and allow to rest for a few minutes before rolling in sugar.
Place your fillings in a piping bag and using a small, sharp knife cut into the side of a donut and pipe the filling in. I put some jam, then the custard and then some jam again so that you can see from a glance what the filling is. Serve while warm!