Cooking custard for crème brûlée macarons
I think your flavor ideas seem fine, I'd advise against a custard filling for two reasons. First, custard is squishy, even if you make it harder it's going to squish out when the macaron is bitten into, which isn't the result you want. Second, the excess moisture in the custard could make the macarons soggy, also not the result you want.
Almost all the macaron fillings I know of use chocolate ganache or butter cream fillings because they have the right combination of spreadibility and resilience, and their low moisture content will keep the macarons from getting soggy. I would suggest you change your approach to use one of these two options. You could try making a vanilla butter cream with toasted white sugar to get a caramel flavor, it's an extra step but makes a big difference flavor-wise.
If you want to try a custard then a cornstarch (aka cornflour depending on where you are) thickened custard is likely the way to go as you can get a thicker set than an egg yolk custard, and it's easier to modify through experimentation to find out how much you will need to get the consistency you want when cooled. You will also want to give the inside of each half a thin layer of white chocolate to prevent them from absorbing moisture from the custard.