This is called Annona.  (Annona cherimola).  Very similar one we see in the supermarket here, the custard apple, is a different species, called Annona reticulata. 

This belongs to Annonaceae, and the genus Annona has 100-150 species.

We tried this fruit on the way back from San Ramón at the roadside shop.  It was creamy and very sweet and nice.