Make the dough:
In a large bowl, combine flour, sugar, yeast, and salt. Add warm milk, eggs, butter, vanilla, and lemon zest (if using). Knead until smooth and elastic, about 10 minutes by hand or 5–6 minutes in a stand mixer with a dough hook.
Cover and let rise in a warm place for 1.5–2 hours, or until doubled.

Make the custard:
In a saucepan, whisk egg yolks, sugar, cornstarch, and a pinch of salt. Gradually whisk in milk until smooth. Cook over medium heat, whisking constantly, until thickened. Remove from heat, stir in vanilla and butter. Cover with plastic wrap directly on the surface and chill completely.

Shape the donuts:
Roll out the dough on a floured surface to about 3/4-inch thickness. Cut into 2.5–3 inch rounds. Place on a floured tray, cover loosely, and let rise again for 30–45 minutes.

Fry the donuts:
Heat oil to 350°F (175°C). Fry a few donuts at a time for 2–3 minutes per side, or until golden brown. Drain on paper towels, then roll in fine sugar while still warm.

Fill the Bomboloni:
Using a piping bag with a round tip, pierce each donut and fill with chilled custard until slightly oozing.

Serve fresh and warm, optionally with extra custard for dipping.