Cake: Preheat oven to 350° F. Lightly coat a 9-inch round cake pan with vegetable cooking spray. Grind the zest and sweet potato in a food processor. Scrape down the bowl. Add sugar, canola oil, eggs, vanilla, ground cinnamon, and salt. Pulse until the mixture is blended. Add flour, baking powder, and baking soda. Pulse just to incorporate. Pour into the prepared pan. Bake 40 to 45 minutes or until a toothpick inserted in the center of the cake comes out clean. Cool 10 minutes on a rack and dust with confectioner's sugar.
Sauce: Heat milk in a saucepan over medium heat until small bubbles form. In a bowl, whisk sugar with eggs and slowly pour in the milk, whisking constantly. Pour the mixture back into the pan and cook over low heat, stirring constantly, until the sauce thickens, about 10 minutes. Do not let the sauce boil or it will curdle. Remove from heat and stir in vanilla. Pour the sauce into a metal bowl, then place the bowl in a pan of ice water to chill. Drizzle over the warm cake and serve.