In a large bowl, combine 1 1/4 cups flour, 1/2 cup sugar, undissolved yeast, salt and lemon zest.
Heat milk, water and 1/4 cup butter until very warm (120 - 130 degrees). Gradually add to flour mixture. Beat 2 minutes with electric mixer at medium speed, scraping bowl occasionally.
Separate 1 egg; refrigerate white in a covered bowl. Add 1 whole egg, 1 egg yolk and 1/2 cup flour; beat 2 minutes at high speed. Stir in cornstarch and remaining 2 1/4 cups flour to make a soft batter. Cover tightly with plastic wrap; refrigerate 2 hours.
Meanwhile, bring the remaining 1 1/2 cups butter to room temperature Spread softened butter on waxed paper, forming a 12-by-10-inch rectangle. Refrigerate for 1 hour.
Roll chilled dough to a 16-by-12-inch rectangle on a lightly greased surface. Center the rectangle of chilled butter over the dough; pat butter gently into dough. Fold into thirds by folding the long sides in over the center. Give dough a quarter turn; roll it into a 16-by-12-inch rectangle. Again fold dough in thirds. Turn dough, roll and fold once more. Wrap tightly in plastic wrap; chill 1 hour.
Roll dough into a 16-by-12-inch rectangle. Fold in thirds, turn dough, reroll to a 16-by-12-inch rectangle and fold again. Chill for 1 hour.
Repeat Step 6, refrigerating dough overnight.
Divide dough in half; return one portion to refrigerator. Roll the other half to a 12-by-6-inch rectangle. Cut into 12 (6-by-1-inch) strips. Twist each strip 3 times, then coil and tuck end under coil. Make a deep indentation in the center of each roll; fill with 1/2 teaspoon jelly. Place rolls on greased baking sheets. Repeat with remaining dough. Chill rolls for 1 hour.
Preheat oven to 375 degrees. In a small bowl, combine egg white and 1 tablespoon water to make an egg glaze. Stir to blend. Brush rolls with egg glaze; sprinkle lightly with sugar.
Bake for 15 minutes or until golden. Remove from sheets; let cool on wire rack.