Combine 1 1/4 cups flour, 1/2 cup sugar, undissolved yeast, salt, and lemon zest in a large bowl.

Heat milk, water, and 1/4 cup butter until very warm (120-130 degrees).

Gradually add the warm milk mixture to the flour mixture.

Beat with an electric mixer at medium speed for 2 minutes, scraping the bowl occasionally.

Separate 1 egg, refrigerating the white in a covered bowl.

Add 1 whole egg, 1 egg yolk, and 1/2 cup flour. Beat at high speed for 2 minutes.

Stir in cornstarch and the remaining 2 1/4 cups flour to form a soft batter.

Cover tightly with plastic wrap and refrigerate for 2 hours.

Bring the remaining 1 1/2 cups butter to room temperature.

Spread the softened butter on waxed paper, forming a 12x10-inch rectangle.

Refrigerate the butter rectangle for 1 hour.

Roll the chilled dough to a 16x12-inch rectangle on a lightly greased surface.

Center the chilled butter rectangle over the dough and gently pat it into the dough.

Fold the dough into thirds by folding the long sides in over the center.

Give the dough a quarter turn and roll it into a 16x12-inch rectangle.

Fold the dough in thirds again.

Turn the dough, roll, and fold once more.

Wrap tightly in plastic wrap and chill for 1 hour.

Roll the dough into a 16x12-inch rectangle.

Fold in thirds, turn the dough, reroll to a 16x12-inch rectangle, and fold again.

Chill for 1 hour.

Repeat the rolling and folding process, then refrigerate the dough overnight.

Divide the dough in half and return one portion to the refrigerator.

Roll the other half to a 12x6-inch rectangle.

Cut the dough into 12 (6x1-inch) strips.

Twist each strip 3 times, then coil and tuck the end under the coil.

Make a deep indentation in the center of each roll and fill with 1/2 teaspoon of jelly.

Place the rolls on greased baking sheets.

Repeat with the remaining dough.

Chill the rolls for 1 hour.

Preheat the oven to 375 degrees Fahrenheit.

In a small bowl, combine the reserved egg white with 1 tablespoon of water to make an egg glaze.

Stir to blend.

Brush the rolls with egg glaze and sprinkle lightly with sugar.

Bake for 15 minutes, or until golden brown.

Remove from the sheets and let cool on a wire rack.