Mix the flour, salt, sugar, vanilla sugar and cinnamon in a bowl. Add the butter and rub together using your hands to form an even, crumbly mixture, then create a well in the middle. Add the milk, yeast and egg, mix and combine quickly to form a smooth dough. Leave the dough to rise at room temperature for approx. 1½ hrs.
On a lightly floured surface, roll out the dough into a rectangle approx. 1 cm thick. Cover one half of the rectangle evenly with butter, leaving a border of approx. 1 cm. Fold the other half over the top, press the edges down firmly, cover and chill for approx. 30 mins. Once again, roll out the dough into a rectangle approx. 1 cm thick. Fold the short sides into the middle, then fold one half over the other to create 4 layers. Cover the dough and chill for approx. 1 hr., roll out again and fold, cover and chill for approx. 1 hr.
In a pan, whisk the milk with all the other ingredients up to and including the egg. Bring to the boil over a medium heat, stirring constantly. As soon as the mixture thickens and turns creamy, remove the pan from the heat and continue whisking for approx. 2 mins. Pour the custard through a sieve, transfer to a disposable piping bag, leave to cool.
Cut the rhubarb in half lengthwise then cut diagonally into pieces approx. 6 cm long. Roll out the dough into a rectangle approx. 1 cm thick, cut into 8 squares, place on a baking tray lined with baking paper. Spread the vanilla custard in the middle, top with the rhubarb, fold in the corners, press down gently.
Approx. 25 mins. in the centre of an oven preheated to 200°C. Remove from the oven, leave to cool on a cooling rack.