Warm the milk slightly and dissolve half of the sugar in it. Crumble in the yeast and let it proof for 10 minutes.
In a large bowl, combine the flour and salt. Add the proofed yeast mixture, melted butter, and egg. Knead until a smooth dough forms.
Cover the dough and let it rise in a warm place for 1 hour, or until doubled in size.
Meanwhile, prepare the filling: combine the powdered sugar, lemon zest, and freshly squeezed lemon juice.
Roll out the risen dough into a rectangle and spread the lemon filling evenly over it.
Tightly roll up the dough like a roulade, then slice into 2-3 cm thick pinwheels.
Place the pinwheels on a baking sheet lined with parchment paper and let them rise for another 20 minutes.
Preheat the oven to 350°F (180°C) and bake the lemon pinwheels for 20-25 minutes, or until golden brown.
Before serving, dust with powdered sugar or drizzle with a little lemon glaze, made from a mixture of powdered sugar and lemon juice.
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