Lightly grease a small baking sheet with the oil and set aside. Sprinkle with a light coating of confectioners' sugar using a fine mesh sieve.
In a small bowl, combine the gelatin with the lemon juice and set aside. Place a 2-quart saucepan over medium-heat, and add the sugar, corn syrup, water, salt, and lemon zest to the pan. Stir the contents of the pan occasionally until the sugar dissolves. Increase the heat to high and continue to cook, without stirring, until a candy thermometer inserted into the syrup reads 250 degrees F.
Place the gelatin mixture in the bowl of an electric mixer and mix on low speed. Remove the syrup from the stove and slowly drizzle into the bowl of the electric mixer to combine with the gelatin. Be sure to add the syrup in a slow and steady stream until it is all incorporated. Once the syrup is combined with the gelatin, begin to increase the speed of the mixer until it is on maximum. Beat the candy until the mixture becomes white in color and nearly triples in volume, about 15 minutes. Add the food coloring to the marshmallow at this point and stir to combine, about 1 minute more.
Transfer the marshmallow to the prepared pan, and using a rubber spatula, coated with oil, spread the mixture into the pan as best as possible. Wet your hands and press the marshmallow into the corners of the pan. Sprinkle with the remainder of the confectioners' sugar and allow the marshmallow to rest, uncovered, overnight.
Release the marshmallow from the pan and place on a cutting board. Cut the marshmallow into 1-inch squares and toss each piece in confectioners' sugar before serving. Marshmallows will keep for up to 1 week in an airtight container at room temperature.