Melt the butter, add the milk, heat until lukewarm and add to the yeast sponge. Stir in the egg, salt and flour and blend until you have a rather soft dough.
Turn the dough out onto a lightly floured work surface and knead until elastic and not sticky. Place the dough in a large buttered bowl, cover with a towel and let rise for about 1 hour or until doubled in bulk.
Meanwhile make the filling: In a bowl, blend the cheese with the egg yolks and the heavy cream and sugar. Add the grated lemon rind, fold in the egg whites and set aside in a draft free place.
Now return the dough to the work surface and divide it into 2 equal pieces; shape these into 2 oblong loaves and place in 2 buttered tube forms. Cover with a towel and let stand in a warm place for 45 minutes.
Now make a shallow ditch in both cakes and fill with the cheese mixture. Place the two pans in the oven and bake until the cheese starts to turn light brown. This should take about 30 minutes. Cool on a rack. Yield: 2 cheese coffee cakes. Can be frozen.