In a small bowl whisk together yeast, sugar and warm milk. Allow to sit for 5 minutes until active and frothing.
Put the flours into a large bowl with the melted butter, egg yolk, salt, vanilla extract and milk/yeast mixture. Mix together with a wooden spoon then knead with your hands for 2-3 minutes on a lightly floured surface.
Dust the dough ball with flour, then cover with a dish towel and leave to stand in a warm place for an hour.
Preheat oven to 350 F and grease a 9 inch square baking pan.
Dust your counter with flour and turn out the dough. Work with your hands for 3 minutes, then divide the dough into two. Roll each half out into a long uniform roll. Using a sharp knife, roughly cut each roll into 10 pieces, then roll each one into a ball. Cover and allow to stand for an additional 10 minutes.
Place each dough ball one by one inside the baking dish, brushing each ball with the melted butter. Bake for 25-35 minutes until the tops of the buns are nicely browned. Leave to stand for 10 minutes before serving.
Make the custard by whisking all the ingredients together in a large heavy pan, then simmer over medium heat, stirring constantly, until pudding thickens. Serve hot over the buns.