In a small bowl, cream butter and cream cheese until light and fluffy. Gradually beat in flour and lemon zest. Shape dough into a ball. Cover and refrigerate overnight.
Remove dough from the fridge 1 hour before rolling out.
On a lightly floured surface roll out the dough into a rectangle approximately 12x18. Cut the dough into 6 strips (longways) and 4 cuts across so that you end up with 24 squares about 3x3 inches. Brush the edges of all the little squares with water. Spoon about a teaspoon of jam into the center of each one, fold pastry over filling forming little triangles. Seal the edges well with a fork. Sprinkle with cinnamon-sugar.
Place on greased baking sheets (I use parchment paper instead) and bake 15-18 minutes or until golden brown. Cool on wire racks.