In a stand mixer, mix the flour, butter, sugar and lemon zest. Let everything mix well. You want the butter to be fully absorbed by the flour.
Add the yeast and mix.
Add the egg and mix.
Add enough milk to give you a dough that can be rolled. Not too soft, but not too hard either.
Cover the dough and let it rise for 1 1/2 hours in a warm part of the house.
Take a ball of dough and roll it flat with a rolling pin. Cut the dough into strips of about 1" wide, 1/4" thick and about 8" long.
Wrap each strip in a spiral around a Cannoli tube. Make all your Cartocci, cover them and leave them to rise for another hour.
Deep fry all the Cartocci until they are golden brown.