In a liquid measuring cup, whisk together the milk, butter, vanilla, and egg. In a large bowl, whisk together the flour, sugar, baking powder, and salt.
Make a well in the flour mixture and whisk in the milk mixture, a little bit at a time, until the two are completely combined.
Prepare a pastry bag with a large round tip (I used an Ateco #806). Set the bag in a tall glass with the tip folded upwards. This will keep the batter in the bag while you fill it. Add about 1 cup of the batter to the bag at a time.
Attach a candy thermometer to a medium, heavy pot. Add about 2 inches of oil to the pot. Heat the oil to 375° F. Cover a baking sheet with a few layers of paper towels and set aside.
Once the oil reaches the correct temperature, hold the bag over the oil and let the batter come out in a steady stream, swirling the bag to create a rough circle, overlapping as necessary. Immediately fold the tip of the bag up to stop the flow of the batter and set it back into the tall glass. Fry the cake until puffed and golden brown on one side, about 1 minute. Using a fish spatula, flip the cake and cook until the other side is golden, another 45 seconds to 1 minute. Transfer the cake to the prepared sheet to drain. Repeat with the remaining batter.
Transfer the cooked cakes to a serving plate and dust liberally with confectioners’ sugar. Serve hot.