Melt the butter in a saucepan and add the milk and saffron. Pour the mixture into a large mixing bowl and let it cool to lukewarm.
Add the yeast and once dissolved add the egg, sugar, and most of the flour. Mix the dough in the bowl until it comes together enough to turn out on a counter and knead. Add the rest of the flour if necessary. Knead for about 10 minutes, until the dough is soft and elastic.
Cover and let the dough rise for about 30 - 45 minutes, until the dough is double in size.
Vanilla filling
Heat the milk and half of the sugar in a saucepan. Add the vanilla.
Mix together the rest of the sugar and the flour and corn starch in a bowl. Add the egg yolks and egg and whisk together until smooth.
Once the milk mixture starts to bubble pour about half of it into the bowl with the egg mixture, whisking quickly the entire time. Then return the saucepan to the heat and pour the egg and milk mixture from the bowl back into the saucepan, whisking the whole time. Let the custard cook for 2 minutes, whisking the entire time. By the end it should be quite thick and harder to whisk.
After 2 minutes remove the custard from the heat and pour into a clean bowl. Cover with plastic wrap, placing it directly touching the top of the custard. Let the custard cool while the dough finishes rising.
Assembly
After the dough has risen, turn it out onto your counter and roll into a long cylinder. Cut it into about 35 - 40 even slices.
Roll the dough into balls and then use a rolling pin to roll each out into an oval.
Pipe or spoon a strip of vanilla filling (alternatively you can use vanilla pudding) across the top of the oval (long side). Make 6 - 8 cuts in the bottom half of the oval (see video) and roll the oval into a cylinder. Then curl it into a round bun.
Set the buns well spaced on a baking sheet and let them rise again for about 15 minutes.
Preheat oven to 430°F (220°C). Whisk the egg and brush each bun and sprinkle with pearl sugar. Bake in the middle of the oven for about 10 minutes until light golden brown.