In a bowl, combine milk, sugar, salt, yeast and egg. Add in vanilla essence and flour then knead. Add in the butter/margarine and continue to knead for 5-8 Mins. Apply oil on the dough and cover to proof or double in size for 1 hour.
To prepare the filling, in a blender mix all the ingredients and blend. On low to medium flame, allow the mango purée to simmer for 5 mins and allow it to cool down completely.
Roll into 1/2 inch thickness, cut the out and place each on a parchment paper. Cover for 15 mins then fry on low to medium heat till golden brown. Allow to cool completely then make a hole for the filling. Dust them with castor sugar.
Using an polythene paper/piping bag make a small hole at the corner and begin to pipe in the filling.