In the bowl of a stand mixer fitted with a dough hook, combine flour, sugar, lemon zest, yeast, and salt.
In a small saucepan, heat butter and milk until butter has melted.
Remove from heat and allow to cool to 115℉/46℃.
With mixer on low, stream milk mixture into flour mixture.
Mix until mostly combined.
Add egg.
Increase speed to medium.
Knead until dough is smooth and pulls away from sides and bottom of bowl, about 8-9 minutes.
Scrape into a covered container that has been sprayed with cooking spray (or glass bowl, if using a proofing box).
Allow to rise at room temperature (or use a proofing box with water tray set to 78℉/26℃ until doubled in bulk, about 1½-2 hours.
While dough is proofing, spray a 10-inch x 13½-inch casserole with baking spray. Set aside.
Turn dough out onto a lightly floured surface.
Sprinkle top with flour.
Roll into a 12-inch x 18-inch rectangle.
Set aside 1 Tablespoon jam and spread rest on dough, leaving a ½ inch border on one long edge and spreading other 3 all the way to edges.
Beginning with long side spread to edge with jam, roll up jelly roll style.
Cut into 1½ inch rolls.
Place in prepared pan.
Cover with plastic wrap.
Allow to rise in a warm place until nearly doubled in bulk, about 1-1½ hours.
While dough is proofing, heat oven to 350℉/177℃.
Bake for 35-40 minutes, or until set and golden brown.