In a mixing bowl, combine dry yeast, lukewarm water, ½ tablespoon of sugar, and 1 tablespoon flour. Whisk well, cover, and let it rest for 20 minutes.
Add egg yolk, milk, oil, orange zest, a pinch of salt, and the remaining flour.
Use a wooden spoon to combine the ingredients until homogeneous. Transfer the dough onto a lightly floured surface and knead until smooth and elastic.
Cover and let it rise for 3 hours or until doubled in size.
Line a baking sheet with parchment paper.
Divide the dough into 6 buns and let them rise covered for an additional 40 minutes.
In a small bowl, combine egg yolk and milk, and gently brush the buns.
Bake them in a preheated oven at 350°F for 15 to 20 minutes.
Remove them from the oven and let them cool for 10 minutes.
While waiting for the buns to cool, take a large bowl and pour heavy cream in. Whip the cream with a whisk or mixer until stiff peaks form. For best results, make sure the bowl and whisk are cold.
Gently fold in the sugar and vanilla extract into the whipped cream.
Split each bun lengthwise and fill it with whipped cream.
Serve and enjoy.