In a large bowl or the bowl of a stand mixer, dissolve the yeast in the milk. Let sit for five minutes, or until bubbly. Next, add the butter, eggs, sugar, vanilla, and lemon zest, and mix to combine. Add 2 cups flour, the salt, and the nutmeg, and mix to combine. Add additional flour, 1/4 cup at a time, to form a soft and slightly sticky dough that pulls away from the sides of the bowl.

Place the dough in a greased bowl, cover with plastic wrap, and let rise in a warm place for one hour, or until doubled. While the dough is rising, mix together the sugar, lemon zest, butter, and lemon juice to form the filling. Line a 9 x 13 baking pan with parchment or spray with cooking spray.

When the dough has risen, roll it out into a large rectangle, about 10 inches by 15 inches. Spread the filling mixture over the dough. Roll the dough up from the long edge to form a long cylinder. Cut into twelve equal sized slices and place cut side up in the prepared baking pan. Cover and let rise for one hour.

When the dough is close to the end of its rise time, preheat the oven to 325. Bake the rolls 30-35 minutes, or until golden brown on top. While the rolls rise, mix together the lemon juice, cream cheese, butter, and powdered sugar for the glaze. Remove the rolls from the oven and pour the glaze over the rolls. Serve warm.