Prepare the dish
Lightly grease a square baking dish or container and set aside.
Infuse the milk
In a saucepan, heat about three quarters of the milk with the sugar, cinnamon stick, lemon peel, and orange peel. Bring to a gentle boil, then simmer for about 5 minutes to infuse the flavors.
Mix the custard base
In a separate bowl, whisk the remaining milk with the cornstarch and salt until smooth. Add the egg yolks, vanilla extract, and anise liqueur if using.
Combine and cook
Slowly pour the warm infused milk into the cornstarch mixture while whisking constantly. Return everything to the saucepan and cook over low heat for about 10 minutes, stirring continuously until thick and creamy.
Finish the custard
Remove from heat and strain the mixture to remove peels or lumps. Stir in the butter for extra richness.
Chill overnight
Pour the custard into the prepared dish and smooth the top. Cover directly with plastic wrap touching the surface. Let cool, then refrigerate overnight or at least 8 hours until fully firm.
Cut and coat
Turn the chilled custard onto a lightly oiled surface and cut into equal squares. Beat the eggs in one bowl and place the cornstarch in another. Coat each square first in cornstarch, then in beaten egg.
Fry until golden
Heat the oil over medium heat. Fry each piece for 1–2 minutes per side until golden brown and crispy.
Finish and serve
Transfer to paper towels to drain excess oil. Coat with sugar while still warm and serve immediately or chilled.