Whisk together milk, sugar, cornstarch, vanilla and pumpkin puree. Bring to a boil over medium heat, stirring constantly. Reduce to a simmer as it starts to thicken.
Add a few drops of the hot thickened pudding to a small bowl containing the yolk. Gently stir it together. No lumps should be made. Slowly whisk the tempered mixture into the thickening pudding. Cook over low heat, stirring constantly until thick. About 2 minutes.Pour into 2 individual serving dishes. Chill.