Preheat oven to 350 F. In a bowl, whisk together milk, egg, oil & lemon juice. In another bowl, combine flour, sugar & baking powder. Stir wet ingredients into flour mixture until combined in a smooth batter.
Brush mini donut pan with butter. Fill each cup about 1/2 full; bake for about 4-5 minutes or until they test done. Place some sugar in a shallow dish. Remove baked donuts from oven; while still warm coat with sugar. Set aside.
Rhubarb Sauce
Cut rhubarb into small pieces. In a saucepan, add rhubarb, sugar & water; bring to a boil & simmer, covered, gently for 10 minutes. Remove lid & stir, then remove from heat when it reaches a jam consistency.
Custard
In a saucepan, bring milk & vanilla to a boil. In a bowl, whisk egg yolks, sugar & cornstarch together. Add the hot milk to egg mixture slowly whisking as you do so. Return the mixture to the saucepan & bring slowly to a boil, whisking constantly until thickened.
To Serve
Divide custard between 4 custard dishes; place a spoonful of sauce on top. Serve the mini donuts on the side, ready to be ‘dunked’.