Prepare the Dough:

1. Make the Dough: In a large bowl, combine the flour, sugar, instant yeast, and salt. Stir to combine. In a separate bowl, whisk together the warm milk, egg, vanilla extract, and cold water. Add the wet ingredients to the dry ingredients and mix until a dough forms.
2. Knead the Dough: Transfer the dough to a lightly floured surface and knead for about 5 minutes until smooth. If the dough is too sticky, sprinkle a bit of flour. Once kneaded, form the dough into a ball and cover it with a damp towel. Let it rest for about 30 minutes to relax the dough.
3. Laminate the Dough: Roll the dough out into a large rectangle, about ¼-inch thick. Cut the cold butter into thin slices and evenly distribute them on two-thirds of the dough. Fold the unbuttered third over the buttered part, then fold the other third over the top, creating a three-layer dough package.
4. Chill the Dough: Wrap the dough in plastic wrap and refrigerate for at least 1 hour (or up to overnight) to allow the butter to firm up and make the dough easier to roll.

Shape the Cronuts:

5. Roll and Fold the Dough: After chilling, remove the dough and roll it out into a rectangle again, about ½ inch thick. Fold the dough in thirds as before and refrigerate it for another hour. Repeat the rolling and folding process 3 times, allowing the dough to rest in the fridge for at least an hour between each fold. This creates the flaky layers.
6. Cut the Cronut Shapes: After completing the folds, roll the dough out to about 1-inch thickness. Using a round cutter, cut out circles of dough. Then, use a smaller round cutter to remove the center of each circle to form a doughnut shape. If you prefer smaller cronuts, use a mini cutter.

Frying the Cronuts:

7. Heat the Oil: In a large pot or deep fryer, heat vegetable oil to 350°F (175°C). The oil should be deep enough to fully submerge the cronuts, but be careful not to overheat the oil.
8. Fry the Cronuts: Carefully drop the doughnuts into the hot oil, one or two at a time, depending on the size of your pot. Fry for about 3-4 minutes per side, or until they are golden brown and crispy. Use tongs or a slotted spoon to remove the cronuts and place them on paper towels to drain excess oil.

Make the Custard Filling:

9. Prepare the Custard: In a saucepan, combine the milk and heavy cream and heat over medium heat until it just begins to simmer. In a separate bowl, whisk together the egg yolks, sugar, cornstarch, and salt. Gradually pour the hot milk mixture into the egg mixture, whisking constantly. Return the mixture to the saucepan and cook over low heat until thickened (about 5-7 minutes). Once thickened, remove from heat and stir in the vanilla extract. Let the custard cool completely.

Glaze and Fill the Cronuts:

10. Make the Glaze: In a small bowl, whisk together powdered sugar, milk, and vanilla extract to make a smooth glaze. The glaze should be thick enough to coat the back of a spoon but still pourable. Adjust the consistency by adding more milk or powdered sugar as needed.
11. Fill the Cronuts: Once the cronuts are cool, use a piping bag fitted with a small round tip to fill the cronuts with the custard. If you don’t have a piping bag, you can cut a small slit in the side of each cronut and spoon in the custard.
12. Glaze the Cronuts: Dip the top of each cronut into the glaze and allow the excess to drip off. Place the cronuts on a wire rack to set the glaze.

Serve:

13. Serve and Enjoy: Once the glaze has set, sprinkle a pinch of sea salt over the top for a sweet-salty contrast (optional). Serve the cronuts immediately, or store them in an airtight container for up to 2 days. They are best enjoyed fresh!