For the pastry, combine the flour, butter, orange zest, sugar and salt in a food processor and pulse until the mixture resembles breadcrumbs. Add the egg yolks and pulse until the mixture comes together to form a rough dough. Turn out onto a floured work surface and gently knead until smooth. Shape the pastry into a disc, wrap in cling film and refrigerate while you make the filling.
For the filling, put the apples and sugar in a saucepan and heat gently for five minutes, or until the apples start to break down slightly. Stir in the cornflour, vanilla and cinnamon and cook for a further two minutes. Set aside to cool completely.
Preheat the oven to 200C/400F/Gas 6.
On a floured work surface, divide the pastry into thirds. Roll out two-thirds of the pastry to the thickness of a pound coin and use it to line a 23cm/9in pie tin. Cover with greaseproof paper, fill with baking beans and bake for 15 minutes (this is called blind baking). Remove the baking beans and paper and bake for a further 10 minutes, or until the pastry is crisp and just starting to colour.
Roll out the remaning pastry to the thickness of a pound coin, in a rough circle. Spoon the filling into the baked pastry base, then cover with the remaining pastry. Bake for 20-25 minutes, or until the pastry is golden-brown and crisp.
Meanwhile, make the custard. In a pan over a medium heat, add the milk, cream and vanilla pod and seeds. Bring to a simmer then remove from the heat.
Whisk the egg yolks and sugar together in a bowl. Strain the hot milk mixture through a sieve and slowly pour it over the yolk mix, whisking all the time. Return the mixture to a clean pan and cook gently for five minutes until thickened, stirring constantly. Serve immediately, poured over a slice of the warm apple pie.