Prepare the custard first: Whisk egg yolks, sugar, and cornstarch in a bowl until smooth.
Heat milk and heavy cream in a saucepan until just steaming. Gradually whisk into the egg mixture.
Return mixture to saucepan and cook over medium heat, whisking constantly, until thickened.
Remove from heat, stir in vanilla and butter, then chill until needed.
For the dough: Mix flour, yeast, sugar, and salt in a bowl. Add butter and rub into the flour.
Add warm milk and egg, mixing to form a dough. Knead for 10 minutes, then rest for 30 minutes.
Roll out dough, fold into thirds, then repeat twice more, chilling between folds.
Cut dough into strips, twist into spirals, and place in a greased muffin tin. Let rise for 30 minutes.
Bake at 375°F (190°C) for 20-25 minutes until golden brown. Cool slightly.
Pipe custard into each cruffin, brush with butter, and sprinkle with sugar before serving.