in a sauce pan pour the milk, sugar, and butter.
heat over medium heat.
only melt butter and dissolve sugar, dont boil.
add the lemon zest & mix well.

activate the yeast by adding 2tbsp warm milk, 1tbsp sugar, 2tbsp flour. mix and add the yeast. mix together well and let sit for about 10min

add egg yolks to the milk mixture and give it a swirl (save egg whites for the filling)

pour the flour into a bowl, add the milk and yeast and vanilla. mix/kneed everything together for about 5-10min (the dough will be sticky so dont worry)
cover with plastic wrap & let dough rise for an hour or two until it doubles in size

add the chopped nuts, coco powder, and 6-7 tbsp of sugar. mix well.

take the egg whites and beat until stiff, add the nut mixture.

cut the dough into 3 equal pieces. roll out each piece into a long rectangle the width should be your pan size.
use 1/3 of the filling and evenly spread over the dough. roll up the dough

place the roll seam face down into a well oiled or buttered bread pan and let them double in size again

brush them with egg wash. preheat the oven to 350 and bake for 35-45 minutes