In a medium saucepan, whisk together milk, sugar, cornstarch, and eggs until smooth and combined. Cook over medium heat, stirring constantly, until the mixture thickens and bubbles gently, about 5–7 minutes. Remove from heat, stir in vanilla, and transfer to a bowl to cool completely before using.

In a large mixing bowl, combine bread flour, sugar, yeast, and salt. In a separate bowl, mix warm milk, melted butter, and eggs until blended. Gradually pour the wet mixture into the dry ingredients, stirring until a dough forms. Knead for about 8–10 minutes until smooth and elastic.

Place the kneaded dough in a greased bowl, cover, and let it rise in a warm area until doubled in size, approximately 1 hour.

Gently punch down the dough, roll it out to a rectangle about ½ inch thick, and spread the cooled custard filling evenly over the dough. Roll the dough into a tight log, pinch seams, and cut into slices about 1–2 inches thick.

Arrange the sliced dough in a greased baking pan, cut sides up, and cover again to rise for another 30 minutes in a warm spot.

Preheat the oven to 350°F (175°C). Bake for 25–30 minutes, or until golden brown and sounds hollow when tapped.

Remove the bread from the oven and let it cool in the pan for about 10 minutes. Transfer to a wire rack to cool completely before slicing. Dust with powdered sugar and serve warm or at room temperature.