With a vegetable peeler, cut a thin strip of peel about 2 inches long from lemon. Set aside. Squeeze juice from lemon; add water to measure 1/2 cup. Combine lemon peel strip, lemon juice mixture, sugar, honey and clove in a saucepan. Bring to boiling; reduce heat. Cook and stir till syrup is thickened and bubbly. Remove from heat; discard clove and lemon peel. Cool slightly.
Insert one walnut half into each fig. Place in individual dessert dishes. Stir together cooled syrup, yogurt, and vanilla; spoon over figs. Cover; chill till serving time. Sprinkle with chopped walnuts.