Pour the milk, cream and vanilla extract into a saucepan. Slowly bring almost to the boil and remove from the heat. In a large heatproof mixing bowl, beat the eggs and sugar until thickened and pale in colour. Gradually add the milk mixture, whisking as you go, then add the orange zest and whisk to combine.
Butter the cut sides of the buns with the spread. Arrange the bun halves cut sides down in a baking dish measuring 21cm square and 4cm deep. Pour the milk mixture through a sieve over the buns and allow to stand for 30 minutes.
Preheat the oven to 160°C/gas mark 3 and put the kettle on. Place the baking dish in a roasting tin, pour hot water from the kettle into the tin until it comes halfway up the side of the baking dish and bake for 45 minutes until just set. Dust with the icing sugar and serve.