In a large mixing bowl, combine flour, sugar, salt, and lemon zest. Mix until evenly distributed. Add cold butter cubes and blend with a pastry cutter or fingertips until mixture resembles coarse crumbs.

Slowly add cold milk and vanilla extract to the flour-butter mixture. Mix gently until a soft dough forms, being careful not to overwork it.

Shape dough into a disk, wrap in plastic wrap, and refrigerate for at least 1 hour.

Preheat oven to 375°F (190°C) and line a baking sheet with parchment paper.

On a lightly floured surface, roll dough into a ¼-inch thick rectangle. Cut into triangles, roughly 3–4 inches wide at the base.

Starting at the wide end, roll each triangle toward the tip to form a crescent shape. Place on prepared baking sheet, spacing about 1 inch apart.

Beat egg in a small bowl and brush a thin layer over each crescent.

Bake in preheated oven for 18–22 minutes, or until lightly golden and flaky. Remove from oven and cool on baking sheet for 5 minutes before transferring to a wire rack.

Once cooled, optionally dust with powdered sugar.