Heat milk with vanilla bean. Remove bean and keep milk hot. Whisk egg yolks and sugar until thick and lemon-coloured. Add hot milk and cook over hot water without allowing mixture to boil. Dissolve gelatine in water and add to custard; strain and cool.
Stir custard mixture over ice, and when it begins to set, fold in whipped cream, followed by egg whites, beaten until stiff but not dry.