Preheat oven to 400 degrees F. Spray 6-oz. size ramekins with nonstick spray.
Bread Pudding: In a large mixing bowl, whisk together milk, cream, egg yolks (reserve whites), sugar, vanilla, and orange zest.
Tear the croissants into large pieces, add them to the egg mixture, and toss gently to coat. Soak croissants 15 minutes, stirring once or twice to make sure the bread is saturated.
While the croissants are soaking, stir together the banana slices, brown sugar, and lemon juice. Set aside to use when assembling the puddings.
In a clean bowl, whip reserved egg whites and salt with an electric mixer until soft peaks form; don't overbeat! Gently fold whites into soaked bread.
To assemble, spoon a little banana mixture into ramekins. Top with 1/3 cup bread mixture, and then divide remaining banana mixture among ramekins. Top with bread mixture - they will be full.
Transfer ramekins to a baking sheet; combine sugar and cinnamon and sprinkle on top of puddings. Bake until puffed and a toothpick inserted in the center comes out clean, about 30 minutes.
While puddings bake, prepare sauce.
In a small saucepan over medium heat, simmer milk, sugar, and salt.
In a small bowl, combine the Southern Comfort, cornstarch, and egg yolk. Temper hot milk into egg mixture, then add egg mixture back to the pan.
Reduce heat to medium-low; cook 1 minute, stirring constantly. Remove from heat and add vanilla; let stand 5 minutes before serving.
Dust puddings with powdered sugar; pour sauce into and over the top. Serve immediately.