1. Preheat oven to 400°F (200°C). Line a baking sheet with parchment paper.

2. Cut puff pastry into 1-inch wide strips. Wrap each strip around a small metal cannoli mold or cone, overlapping slightly.

3. Brush with beaten egg and sprinkle with granulated sugar.

4. Bake 12–15 minutes until puffed and golden. Let cool completely, then gently remove molds.

5. To make custard, heat milk in a saucepan until steaming, not boiling.

6. In a bowl, whisk egg yolks, sugar, cornstarch, and salt until smooth.

7. Slowly pour warm milk into egg mixture while whisking to temper. Return mixture to saucepan.

8. Cook over medium heat, stirring constantly, until thickened (about 4–5 minutes).

9. Remove from heat and stir in vanilla. Transfer to a bowl, cover with plastic wrap, and chill.

10. Fill cooled pastry shells with custard using a piping bag. Dust with powdered sugar and serve.