Whisk in 1/4 cup of milk with cornstarch in a small nonstick pan until smooth. Whisk in remaining 3/4 cup of milk.
Scrape the seeds of the vanilla bean into the mixture then add the bean.
Bring the mixture to boil over medium heat, stirring constantly. Reduce heat to low and cook for 1 minute. Remove from heat.
In a small bowl, beat together the egg, egg yolk, and sugar. While beating constantly, add a little bit of the milk mixture to temper the egg mixture. Beating constantly, add the egg into milk mixture in pan.
Cook over low heat, stirring constantly for 1 minute or until the mixture has thickened.
Strain through fine sieve into a clean bowl. Sauce can be used warm or chilled.
Sauce can be stored in air tight container in fridge for 2 days.