Prepare the pudding: mix the vanilla pudding mix with the granulated sugar, then slowly add the cold milk, stirring constantly, and cook until thick. Set aside to cool.
In a large bowl, sift the flour, add the yeast, sugar, and salt, then mix well.
Gradually add the warm water and yogurt, and begin to knead the dough. Knead until you get a smooth, elastic consistency. This takes about 8-10 minutes by hand.
Place the dough in a greased bowl, cover with a kitchen towel, and let it rise in a warm place for 1-1.5 hours, until it doubles in size.
Divide the risen dough into 6-8 equal parts. Shape them into small balls, then roll them out into thin, oval-shaped discs.
Lightly grease a hot skillet with oil and cook the naans one by one. Cook on both sides for 2-3 minutes, until golden brown and slightly puffed up.
Spread the cooled vanilla pudding on top of the cooled naans. Serve warm or cold, as a dessert or snack.
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