Soak gelatine in cold water. Cut the vanilla pod lengthwise and scrape out the pulp with the back of a knife. Coarsely chop the chocolate coating, put it in a pot with sugar, vanilla pulp and milk, melt it at low heat while stirring.
Squeeze the gelatine and dissolve in the hot milk. Stir in yoghurt. Divide the mixture into 4 glasses (each containing approx. 150 ml). Chill for at least 4 hours.
Loosen the covering of the physalis and strip it outwards. Decorate Panna Cotta with physalis and white chocolate shavings, dust with icing sugar.