In a saucepan over medium heat mix the milk, lemon zest, egg, and lemon juice

Slowly incorporate the cornstarch and sugar. Stir regularly.

Cook until the first bubble forms, and reduce to low heat.

Add the vanilla and stir for 2 more minutes.

Remove from the heat and transfer to a bowl.

Let it cool down for 15 minutes, then cover it and take to the fridge for 3 hours.