In a medium heatproof bowl, whisk the egg yolks and granulated sugar until the mixture turns pale yellow and thick.

Sift the all-purpose flour into the yolk mixture and gently whisk until just combined.

Gradually incorporate the whole milk and vanilla extract until everything is blended.

Pour this mixture into a saucepan and cook over medium-low heat, stirring constantly for about 8-10 minutes until it thickens.

Transfer the thickened custard to a bowl, pressing plastic wrap directly onto the surface to prevent a skin from forming.

Let it cool at room temperature for 30 minutes, then refrigerate until fully chilled (minimum 2 hours).

Unfold the thawed puff pastry on a lightly floured surface and roll it gently to about 10x12 inches.

Sprinkle with granulated sugar and gently roll to press it in.

Roll the pastry tightly from the long side into a log, trimming uneven ends, and slice into 1/2-inch thick pieces.

Lay them cut-side up on a parchment-lined baking sheet, leaving space between each piece and gently flatten each one.

Whisk the egg with 1 tablespoon of water for the egg wash and brush over the tops and sides of the pastry pieces.

Bake in a preheated oven at 400°F (200°C) for 12-15 minutes or until they’re golden brown and puffed.

Once cooled, carefully slice each cannoncini in half horizontally or fill their hollowed centers with the chilled custard.

Arrange on a platter and dust generously with powdered sugar just before serving.