Sift the flour, baking powder, baking soda, and sugar together into a large ceramic or glass bowl. Stir in the grated lemon zest. Scatter the pieces of butter over the top and rub them in with your hands a bit at a time until the mixture has the texture of coarse cornmeal. Mix together the eggs, milk, and vanilla, make a well in the center of the dry ingredients, and pour them in, mixing gently until a dough is formed. Knead the dough lightly in the bowl, adding sprinkles of flour as needed, and mix until it is smooth and very soft. You can make the dough and refrigerate it up to 24 hours before baking.
Divide the dough into two equal pieces on a lightly floured work surface. Roll each into a cylinder that is about 2 inches wide and 18 inches long. Flatten the surface and neaten the edges. Set a piece of parchment paper on each of the baking sheets, warm them for about 1 minute in the oven, and then rub a tablespoon of butter on each piece of parchment. Set a log of dough on the center of each baking sheet, twist it into an S shape, and use a sharp knife to make three parallel cuts on the top of the dough. Finish by brushing the surface of each one first with the milk and then sprinkling the turbinado sugar over the top.
Set the baking sheets on the middle shelf of the oven and