Making the Dough:
In a large bowl, combine the flour, yeast, sugar, and salt.
Mix the warm water, milk, and oil in a small saucepan or measuring jug. Gradually pour this mixture into the dry ingredients.
Knead the dough for about 5 minutes until it becomes smooth and soft.
Cover the dough with a cloth and let it rise for 1 hour in a warm, draft-free area.
Making the Custard:
In a small saucepan, heat the milk until warm (but not boiling).
In a separate bowl, whisk together the egg yolk, sugar, and cornstarch. Gradually pour the warm milk into the egg mixture while whisking constantly.
Return the mixture to the saucepan and cook over medium heat, stirring until thickened.
Remove from heat, add vanilla extract, and allow the custard to cool.
Assembling the Custard Buns:
After the dough has risen, punch it down and knead for 3 minutes.
Divide the dough into 12 equal pieces. Roll each piece into a circle.
Place a teaspoon of the cooled custard filling on one half of the dough circle and fold the other half over, sealing the edges firmly. Let the buns rest for 15 minutes.
Heat a non-stick pan on low heat and lightly brush with oil.
Gently place the buns in the pan and cook for 10 minutes on one side, then flip and cook for another 5 minutes on the other side.
Once cooked, remove from the pan and let the buns cool slightly before serving. Optionally, dust with powdered sugar.