1. In a small bowl, pour warm water. Sprinkle yeast and 2 tsp. sugar into the water. Let the yeast and sugar sit for approximately three minutes before mixing thoroughly. Set mixture aside in a warm place for ten minutes, or until the yeast bubbles and the mixture doubles in volume.
2. Combine flour, 1/2 cup sugar, nutmeg and salt and sift into a large bowl. Stir in lemon zest. Slowly add the yeast mixture (from step 1), warm milk, and egg yolks into the dry ingredients. Mix with a wooden spoon until this mixture is smooth.
3. Beat in 8 Tbsp. butter (one Tbsp. at a time) and continue to beat for approximately two minutes (or until dough can be formed into a soft-ball).
4. Place dough onto a lightly floured surface, and knead like bread. While kneading, sprinkle in an additional cup of flour (about 1 Tbsp at a time). When dough is not sticky, knead for approximately ten more minutes.
5. Coat the inside of a large bowl with 1 Tbsp butter (use a pastry brush to do this). Place your dough into the bowl, rolling it around until the surface is buttered. Cover the bowl with a clean kitchen towel. Set aside for about 1.5 hours or until dough roughly doubles in size.
6. Coat a large baking pan with 1 Tbsp. butter.
7. Remove dough from the bowl and place on a slightly floured surface. Using your fist (don't forget to wash your hands) beat down the dough forcefully. Sprinkle cinnamon over the dough evenly, and then shape the dough into long cylinder. (It should look like a snake.)
8. Twist the dough, to form a curled cylinder. Place the dough into the baking pan, forming a circle (pinch the ends together to complete the circle).
9. Recover the dough with a towel and let set for about 45 minutes.
10. Pre-heat the oven to 375 °.
11. Brush top and sides of the cake with egg wash and bake on the middle rack of your oven for 25 to 35 minutes or until cake appears golden brown.
12. Allow cake to cool. At this time you can hide the plastic baby in the cake (optional).
13. When cool, spread the icing over the top of the cake. (To make the icing, combine sugar, lemon juice, and 3 Tbsp. water until smooth. If the icing is too thick, add more water until it is spreadable.)
14. Sprinkle colored sugars over the icing, making rows of the three colors.