Dissolve the yeast in the milk. Add butter, eggs, sugar, vanilla, and lemon zest, and mix to combine. Add flour, salt, and nutmeg then mix. Add remaining flour slowly to form dough.
Place dough in a greased bowl, cover with plastic, and rise for 1 hour. Meanwhile mix together filling ingredients. Line a baking pan with parchment paper.
Roll dough into a large rectangle. Spread on filling. Roll the dough to form a cylinder and cut into equal slices, placing cut-side-up on the pan. Cover and let rise for 1 hour.