Preheat the oven to 350 degrees F and line a baking sheet with parchment paper or use a silicone baking mat.
In a large bowl, combine the butter, vanilla, and egg with an electric mixer. Next, add in the Erythritol, Almond flour and baking powder and mix well.
Once this mixture is well combined, spread it into an even layer approximately 8" x 16" on the prepared baking sheet. (Don't spend a ton of time making this perfect, once it is done baking it will be cut apart anyway :) )
Bake in the preheated oven for 12-15 minutes or until golden brown. Remove from the oven and set aside to cool.
While the cookie layer is baking, start working on your pudding. Add the Heavy cream, almond milk, vanilla and erythritol to a heavy-bottomed saucepan. Add the egg yolks to a medium bowl and set aside.
Heat the cream mixture over medium heat stirring frequently. As soon as the cream mixture begins to steam, remove from the heat.
Slowly whisk approximately 1 1/2 cups of the warm cream in with the yolks until it's smooth and uniform.
Now, slowly whisk this cream/egg yolk mixture back into the remaining cream (still in the heavy-bottomed pan.)
Cook the mixture over medium-low heat, stirring almost constantly using a rubber spatula to scrape the bottom of the pan.
As you are stirring you will notice the mixture gradually beginning to thicken. As soon as it is able to coat the back of a spoon, remove from the heat and set aside, allowing to cool slightly. ((Note: If your cream looks lumpy, hit it with an immersion blender for a second or two to smooth it out))
While the pudding is cooling, slice the banana into very thin slices. Then, cut the cookies into approximately 1" cubes.
Using a 2-quart, 8"x8" dish, add 1/2 cup of the pudding to the bottom of the dish and spread to cover the bottom. Next, use 1/2 of the cookies to form an even layer on top of the pudding, then add a layer using 1/2 of the sliced bananas, then 1/2 of the remaining pudding.
Repeat this layer (cookies, banana, pudding), then loosely cover the dish and place in the fridge until it is completely cool, at least 2 hours but overnight is best!
Once the banana pudding is completely cool, make the whipped cream. Using an electric mixer, whip the cream, erythritol, xanthan gum and vanilla in a medium bowl until stiff peaks form. Spread this over the top of the banana pudding and enjoy!