Bread pudding with brioche hamburger buns?

absolutely!! I've even made bread pudding with stale donuts and danish

I have made bread pudding with SO many different kinds of breads. Every thing from a rustic country to the softest pain au lait...each bread gave me a different, delicious result.

Yes! It will be delicious and the consistency will be fine. What a great way to use up leftover brioche in any form. I've done it myself, though not with Costco's buns. The wonderful thing about bread pudding is its flexibility. Go for it! ;o)