Split the vanilla bean lengthwise and use the back of your knife or a spoon to scrape the seeds out of the pod (save the pod to make vanilla sugar). Add the vanilla seeds, milk, eggs yolks, sugar, and corn starch to a blender, and blend until smooth.
Pass the mixture through a fine mesh tea strainer and into a saucepan. Heat the saucepan over medium-low heat and use a silicone spatula to continuously scrape the bottom and sides of the pot to keep the pudding from scorching.
Continue heating and stirring until the mixture thickens, but do not allow it to boil. Remove the pot from the heat and allow the mixture to cool to room temperature. You can speed this up, but submerging the bottom of the pot in a bowl of ice water while stirring. When the pudding has cooled, fold in the whipped cream.
Peel and slice the bananas into thin rounds and line the bottoms of 6 small glasses or ramekins with bananas. Spoon a layer of vanilla pudding on top, then add a layer of pound cake. If you still have room, add some more bananas, then top with a layer of pudding. Cover and refrigerate overnight.