So glad you liked the Orange Rolls. I've never filled them with a custard filling but this is a recipe for a custard filling that might work. I use a pastry bag and pipe it into doughnuts.

BAVARIAN CREME

2 Tbsp. Knox granulated
gelatine (2 small pkg.)
1/2 c. cold water
1 pt. scalded milk
4 egg yolks
1/2 c. sugar
pinch of salt
1 1/2 tsp. vanilla
1 pt. heavy cream

Soak the gelatine in the 1/2 cup cold water until soft.
Meanwhile, make a soft custard of the milk, egg yolks, sugar
and vanilla by first scalding only the milk in a double boiler.
Beat together the eggs, sugar and salt. Mix hot milk and egg
mixture together and return to double boiler. Stir constantly
over medium heat until the egg coats the spoon. Add vanilla
and gelatin and mix. Cool completely. Whip the cream. Mix
together when cool. Pipe into doughnuts or rolls when
completely cooled. Refrigerate any leftover rolls.