Unroll the pastry sheet and spread with butter. Roll up tightly from the long side, cover, and chill for about 30 minutes.
Bring water and sugar to a boil in a pan. Add cinnamon, vanilla, and lemon zest, cook until syrupy. Remove cinnamon stick and vanilla bean. Mix milk with cornstarch, add to the syrup, warm while stirring, cool slightly. Stir in egg yolks one by one, strain through a sieve, chill covered.
Cut the pastry roll into 10 slices, press into prepared hollows, press firmly on the edges. Spread the filling on top.
Bake for about 40 minutes in the lower half of an oven preheated to 200°C. Remove, cool on a rack.