Stir the egg yolks and melted butter into the milk mixture. In a separate bowl, combine the flour, salt, nutmeg and lemon zest. Beat the flour mixture into the milk/egg mixture 1 cup at a time. When the dough has pulled together, turn it out onto a lightly floured surface and knead until smooth and supple, about 8 minutes. Lightly oil a large bowl, place the dough in the bowl and turn to coat with oil. Cover with a damp cloth and let rise in a warm place until doubled in volume, about 2 hours.