In a saucepan, combine all filling ingredients. Bring to a boil; reduce heat and cook 5 minutes. Cool to room temperature.
Meanwhile, for dough, scald milk and cool to lukewarm. Dissolve yeast in water; set aside. In a large bowl, combine flour, sugar, salt and lemon zest. Cut in butter until mixture resembles a coarse meal. Add milk, yeast mixture and eggs. Combine to form a soft dough. Place dough in a greased bowl. Cover tightly with plastic wrap; refrigerate for at least 2 hours.
Divide dough in half. On a well-floured surface, roll out each half of the dough into an 18x15-in. rectangle. Divide the filling and spread on each rectangle. Fold each rectangle into thirds, starting with the 15-in. side. The dough will now measure 15x6 in.
Cut each piece into 15 short strips. Twist each strip and shape into a candy cane. Place on greased baking sheets. Bake at 375° for 15-18 minutes or until golden brown. Cool on wire racks. Frost with a confectioners' sugar icing if desired.