Combine the warm milk and active dry yeast in a small bowl and let sit for 5-10 minutes until foamy—this ensures the yeast is alive and active. In a large mixing bowl, combine the flour, granulated sugar, and salt. Add the yeast mixture, egg yolks, and melted butter to the dry ingredients. Mix until a shaggy dough forms, then knead for 8-10 minutes by hand or with a stand mixer until the dough becomes smooth, elastic, and slightly tacky. This develops the gluten structure needed for light, fluffy donuts.

Transfer the kneaded dough to a lightly greased bowl, cover with a damp towel or plastic wrap, and let rise in a warm, draft-free place for 1 hour until the dough roughly doubles in size. While the dough rises, you can begin preparing the banana pudding filling in the next step.

Blend the ripe bananas until completely smooth with no lumps. In a medium saucepan, combine the whole milk, heavy cream, granulated sugar, and cornstarch, whisking until the cornstarch is fully dissolved. Heat over medium heat, stirring frequently, until the mixture thickens (about 5-7 minutes), then add the blended banana puree and stir until smooth. In a small bowl, whisk the egg yolks, then carefully temper them by slowly adding a few tablespoons of the hot banana mixture while whisking constantly. Pour the tempered yolks back into the saucepan and cook for another 1-2 minutes, stirring gently. Remove from heat and stir in the vanilla extract and ground cinnamon. Transfer to a bowl and let cool to room temperature—I like to press plastic wrap directly onto the surface to prevent a skin from forming, which keeps the pudding silky smooth.

Once the dough from Step 2 has risen, turn it out onto a lightly floured surface and gently roll to a 1/2-inch thickness. Using a donut cutter (or two round cutters of different sizes), cut the dough into donut shapes and place them on parchment paper-lined baking sheets. Cover loosely and let rise for 30 minutes until puffy and nearly doubled—they should feel light and springy when gently poked.

Heat vegetable oil to 350°F in a deep pot or Dutch oven (use a thermometer to ensure accuracy). Working in small batches to avoid overcrowding, carefully place the proofed donuts into the hot oil and fry for 1-2 minutes per side until golden brown. Use a slotted spoon or spider strainer to gently turn them and remove them to a paper towel-lined plate. I like to fry them just until they're pale golden rather than dark brown—they'll continue cooking slightly from residual heat, ensuring the insides stay tender.

Once the donuts have cooled slightly, use a small paring knife or donut filling tool to create an opening on the side of each donut. Pipe or spoon the cooled banana pudding filling from Step 3 into each donut until generously filled. Place the vanilla wafer crumbs in a shallow dish. Drizzle the top of each filled donut with caramel sauce, then press the top into the vanilla wafer crumbs to coat. Finish with a generous dusting of powdered sugar.