Preheat oven to 350°F. Spray a 1 1/2-quart baking dish with cooking spray. Set aside.

Combine all pudding ingredients except doughnuts in large bowl; mix well. Add doughnut pieces; mix until coated. Let mixture stand for 10 minutes.

Pour into prepared dish. Bake for 45 to 50 minutes or until puffed and toothpick inserted in center comes out clean. Cool slightly.

To prepare the creme anglaise: in a small saucepan, heat cream and vanilla until bubbles form at edges. In a separate bowl, whisk together egg yolks and sugar until smooth. Slowly pour hot cream mixture into egg yolks, whisking constantly. Transfer the mixture back into the saucepan and continue to cook, stirring constantly, until the sauce coats the back of a spoon.

Drizzle creme anglaise over slightly cooled pudding. Serve immediately.