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Yes, I've tried that too if I'm thinking of the same thing you're describing. I've pretty much tried whatever is on offer from a street food vendor, it is so much fun and delicious (most of the time at least) :)

My most favorite is the Thai doughnuts that you find really early in the morning. They are butterfly shaped and totally delicious.
I challenge you to get up early and get some Pa Thong Ko and dip in your morning coffee. YUM!