Pour the milk into a saucepan, add the Bourbon vanilla bean (if using the bean, scrape out the seeds), and heat until it reaches a near boil. Do not boil. Then, remove from the heat and let it steep for 5 minutes to allow the flavor to infuse.
In a separate bowl, whisk together the egg yolks, sugar, and cornstarch until smooth. Slowly pour in the warm vanilla milk, whisking constantly to prevent the eggs from curdling.
Pour the mixture back into the saucepan and cook over low heat, stirring constantly, until the cream thickens. Tip: For a smoother texture, strain the cream through a fine-mesh sieve at the end.
Steam the bao buns over boiling water in a bamboo or metal steamer lined with parchment paper for 5-6 minutes. Avoid lifting the lid to prevent the dough from collapsing.
Carefully open the softened bao buns and spoon in a generous amount of vanilla cream. Serve warm or chilled – both ways offer a delightful experience.
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