1. Activate the yeast in half of the lukewarm milk with a spoonful of sugar; knead the flour with the remaining sugar, vanilla sugar, lemon zest, salt, eggs, yeast, the rest of the milk and the melted butter until bubbly, then cover and leave to rise for 1 hour.
2. Roll out the dough on a floured surface to 1 cm thick, cut into 8 cm squares, put a teaspoon of plum jam in the centre of each and pinch the corners together into a ball.
3. Melt the butter for brushing; roll the buns in it and place them seam side down, tightly side by side, in a buttered baking tin; leave to rise for another 30 minutes.
4. Bake in an oven preheated to 180 °C for 25-30 minutes until golden brown.
5. Meanwhile, for the sauce, bring most of the milk to the boil with the scraped vanilla pod; whisk the remaining milk with the egg yolks, sugar and starch, pour into the hot milk and thicken, stirring constantly, without boiling.
6. Dust the buns with icing sugar and serve lukewarm with the vanilla sauce.
Tip: Pack the buns tightly in the tin - leaning on each other they rise upwards, which keeps their sides soft and fluffy.
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