Heat the milk and lemon zest in a small heavy-based saucepan over low heat to simmering point, then strain through a fine-mesh sieve into a heatproof bowl.
Using an electric mixer, whisk the egg yolks and caster sugar in a heatproof bowl for 5 minutes or until pale and creamy. Slowly add the hot milk, then whisk to combine. Sit the bowl over a bain marie, making s