Brazo Gitano Acaramelado

At least 2 hours in advance, make the natilla (custard) filling: In a heavy 2-quart saucepan, combine the milk with the cinnamon and lemon zest. Bring the milk just to a simmer over medium-high heat. Remove from the heat and set aside.

With an electric mixer or whisk, beat the egg yolks, sugar, and cornstarch until pale yellow. With a slotted spoon, remove the cinnamon and lemon zest