Warm the milk in a small saucepan until it reaches a near-boil, then remove from heat and set aside.
In a medium pan, vigorously whisk the sugar and cornstarch, then blend in the egg yolks and vanilla extract until the mixture becomes pale and uniform.
Gradually incorporate the hot milk into the egg yolk mixture, whisking continuously to avoid curdling, then return the combined mixture to the stove.
Cook over medium heat, stirring constantly until it thickens to a custard consistency. Remove from heat, transfer to a glass bowl, and press plastic wrap directly against the surface. Chill for at least one hour.
Preheat the oven to 400 °F.
Dust the working surface with some sugar and lay out the puff pastry sheet. Roll into a rectangle roughly 9x12 inches and slice into 12 strips approximately 1 inch wide.
Wrap each pastry strip around a metal cream horn mold, overlapping slightly, and place them on a parchment-lined baking sheet.
Prepare the egg wash by whisking an egg white with a pinch of sugar, then lightly brush each pastry-wrapped mold.
Bake in the preheated oven for 15 to 20 minutes or until the pastries are puffed and golden.
Allow to cool slightly, remove the molds carefully, and let the cannoncini cool completely.
Fill a pastry bag fitted with a star tip with the chilled pastry cream and pipe the filling into each pastry shell.
Generously dust the filled cannoncini with powdered sugar before serving.