Put sifted flours, sugar, salt and yeast in a mixing bowl. Add egg, lukewarm water, milk and butter. Beat over low speed until a soft and smooth dough is formed.
Cover the bowl with a damp tea towel and leave to rest for 45 minutes or until the dough has doubled in bulk.
Divide dough into small, equal portions. Put a teaspoon of durian filling in each portion and wrap up neatly. Shape into small balls and place in paper cups. Arrange the prepared doughnuts on a cup cake baking tray. Cover with cling film, wrap and leave aside to proof until doubled in size.
Using a pair of sharp scissors, snip the surface to create a durian thorn effect.
Bake in a preheated oven at 180°C for 15 minutes or until golden brown. Brush the surface with a little milk immediately.