Heat the milk over medium heat. Add the custard powder and whisk constantly until thickened, following the package instructions (typically 5-10 minutes).
Pour the hot custard into a bowl and let it cool completely to room temperature without forming a skin on top.
Once cooled, whisk the egg yolks with the powdered sugar until pale and well combined, then add to the cooled custard.
Stir in the vodka until fully combined.
Add the vanilla sauce and stir until smooth.
Cover and refrigerate overnight (at least 8 hours) before serving.