MAKE THE DOUGH:
In the bowl of a stand mixer, sprinkle the yeast over the 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 the 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, pliable, and stretchy.
Lightly grease the top of the dough with vegetable oil, and turn the dough over so it is coated in oil. Cover the bowl with plastic wrap and a towel and let the dough rise for 1 hour or until doubled.
→ No stand mixer? If you do not have a stand mixer, mix the ingredients by hand in a large bowl, then turn the sticky dough out onto a lightly floured surface. Knead the dough by hand — see this video for explicit instructions — for 5 to 7 minutes, or until the dough is smooth, pliable, and stretchy. Put back in the bowl to rise.
MAKE THE STICKY LEMON FILLING:
While the dough is rising, rub the lemon zest into the sugar with the tips of your fingers until well combined. Add the butter and beat together with a hand mixer (or in the bowl of a stand mixer) until it is thick, whipped, and creamy. Add the ginger and nutmeg. Slowly add the lemon juice and whip. It should be a thin yet still creamy mixture of butter and sugar. Refrigerate for at least 1/2 hour, or until you are ready to assemble the rolls.
ASSEMBLE THE ROLLS:
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