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Heat oven to 170C/150C fan/gas 3. Warm the cream and milk in a pan over a gentle heat. Whisk the eggs, sugar and vanilla together with a fork in a large bowl, then gradually add the warm cream mixture.
Halve the buns and spread with the butter. Arrange in a large shallow ovenproof dish (approx 25 x 32cm), dot with the marzipan and brush the marmalade on top.
Pour over the cream mixture and set aside to soak for 15 mins. Press the buns down into the custard mixture as they soften.
Bake for 50 mins until set, then remove and allow to stand for 10 mins. Dust lightly with icing sugar and serve while still warm.