FOR DOUGH: In the bowl of a stand mixer, sprinkle yeast over warmed milk and let it sit for a few minutes or until foamy. Using the mixer paddle and with the mixer on low speed, stir softened butter, eggs, sugar, vanilla, lemon zest, and 1 cup of the flour into the milk and yeast mixture. Stir in the salt and nutmeg. Stir in enough of the remaining flour to make a soft yet sticky dough.
Switch to the dough hook and knead at low speed for about 5 minutes, or until the dough is smooth and stretchy.
Lightly grease a large bowl and set dough inside. Cover and let rest until dough is doubled in size.
FOR STICKY LEMON FILLING: While the dough is rising, stir together sugar and lemon zest in a medium bowl. Add butter then beat together with a hand mixer until it is creamy and combined. Slowly add the lemon juice and whip. Refrigerate for at least 1/2 hour or until you are ready to assemble the rolls.
ASSEMBLE ROLLS: Lightly grease a 13x9-inch baking dish with baking spray. On a lightly floured surface, pat the risen dough into a large yet still thick rectangle — about 10 x 15 inches.
Spread the dough evenly with the sticky lemon filling. Roll the dough up tightly, starting from the top long end. Stretch and pull the dough taut as you roll, to keep the lemon filling inside. Cut the long dough roll into 12 even rolls and place each in the prepared baking dish.
Cover the rolls with a towel and let them rise for 1 hour or until puffy and doubled. Heat oven to 350°F. Place rolls in oven and bake for 30 to 35 minutes.
While the rolls are baking, prepare the glaze. In a small bowl, beat lemon juice and cream cheese until light and fluffy. (Reserve the lemon zest.) Add the powdered sugar and milk; blend until smooth and creamy.
Glaze the rolls: When the rolls are done, drizzle them with the cream cheese glaze, and sprinkle the reserved lemon zest over top to garnish. Let cool for at least 10 minutes before serving. Serve warm and enjoy!