In a medium bowl, combine flour, sugar, milk powder, salt and yeast. Set aside.
In a measuring cup, whisk together egg yolk with oil and milk until well combined. Make a well in dry ingredients and pour in milk mixture. Mix well to combine and allow to autolyse about 15 minutes.
With a dough hook attachment, knead dough in a stand mixer for 8-10 minutes, scraping down sides of bowl to incorporate all ingredients. You can also knead the dough by hand.
Place dough in a lightly greased bowl and allow to rise 1- 1 ½ hours or until doubled.
Portion dough into balls of about 40g each. Cover the balls and allow to bench rest approximately 5 minutes. Flatten each ball with a rolling pin to release the air and fold in from top to bottom and side to side. Pinch seam together to form a tight ball. Place on a parchment lined baking sheet and cover with plastic or a clean towel. Allow to rise 45 minutes to an hour until nearly doubled.
Preheat oven to 340F. Whisk egg white until slightly foamy and brush onto each donut.
Bake donuts about 13-15 minutes or until bottoms are lightly golden. Do not over bake!
Remove from oven and cover with a clean towel or plastic while hot. This will allow the steam to penetrate back into the donuts to keep them soft.
Once cooled, use a chopstick to poke a hole in the side. Wiggle the chopstick back and forth to create a pocket in the donut. Fill a piping bag with desired filling and squeeze a small amount into each donut. You will feel it expand slightly.
For the glaze, combine the powdered sugar with 1 tablespoon water and the vanilla. Mix vigorously to form a spreadable consistency. Icing should be quite thick. Top each donut with the glaze and spread to cover top. Allow to set.