Line a sheet pan with parchment paper and grease the parchment paper. Divide the dough into 36 pieces (2 oz / 60g each)  by hand. Shape each piece into a tight round and press lightly with the palm of your hand to flatten slightly. Transfer, seam side down, to the prepared baking pan. Proof, covered, until the dough springs back slowly to the touch but does not collapse for 45 to 60 minutes.

Heat the oil in a heavy-duty pot to 350°F (175°C). Once the oil reaches the desired temperature, lightly grease a steel skimmer spoon. Carefully transfer the proofed Bollos, a few at a time, seam side down, and fry, until golden brown on the first side, 1 minute. Turn and fry for another 1-½ minutes. Turn once more and fry until the top is deep golden brown, about 20 to 30 seconds.

Lift the Bollos from the hot oil, allowing the oil to drain away over the pot. Transfer to a paper towel-lined baking sheet to drain and cool slightly. While still warm, gently toss in the sugar until both sides are well coated, place them side down on racks, and sift confectioners sugar over them once they are fully cooled.

While the milk mixture is heating up, prepare the egg mixture. In a separate bowl, whisk together the eggs, cornstarch, salt, and the remaining granulated sugar until it becomes smooth and pale yellow. This process usually takes about 5 minutes. This step is crucial as it helps create a creamy and luscious Crema Pastelera.

Once the milk is just about to boil, remove the vanilla bean (if using) and slowly pour a small amount of the hot milk into the egg yolk mixture while whisking continuously. This is called tempering, and it helps prevent curdling. Gradually pour the rest of the hot milk into the bowl with the egg yolk mixture while whisking constantly.

Pour the mixture back into the saucepan and place it over medium heat. Cook the pastry cream, stirring constantly and vigorously with a whisk to prevent lumps and ensure even cooking. Continue cooking until the mixture thickens and comes to a gentle boil, and the whisk leaves a trail in it. This usually takes about 8 minutes. You want the pastry cream to reach a pudding-like consistency.

Once the pastry cream has thickened, remove the saucepan from the heat. Stir in the vanilla extract to add flavor to the crema pastelera. Transfer the hot pastry cream to a clean nonreactive bowl or container and cover it with plastic wrap, making sure the plastic touches the surface of the cream. This prevents a skin from forming on the surface.

Let the crema pastelera cool over an ice water bath or at room temperature for a few minutes, then refrigerate it for at least 2 hours before using. The cooling and chilling process will further thicken the pastry cream and enhance its texture.