Step 1Stir together yeast and water in large bowl. Let mixture stand 10 minutes to proof yeast. Whisk in warm milk, then sugar, salt, egg, egg yolks, butter, vanilla and lemon zest. Combine until dough is too stiff to mix, adding just enough flour so that dough holds together and is still a bit moist. Turn dough out on lightly floured surface and knead until soft, smooth and elastic, 8 to 10 minutes.
Step 2Place dough in greased bowl, then place bowl in a large plastic bag. Close bag loosely and let dough rise until puffy, about 45 minutes. Gently punch down dough and divide it into 12 equal portions. Let rest 10 minutes.
Step 1Toss chopped chocolate with sugar and cinnamon.
Step 1Roll or press dough into 12 ovals, each about 7 inches long, and divide chocolate mixture equally among ovals, placing it in center of each. Fold in ends, then sides, of each oval and press gently to seal. You will have 12 small cylinders.
Step 2Place buns on two baking sheets lined with parchment paper and set sheets in a large plastic bag. Loosely close bag and let buns rise until puffy, about 30 to 45 minutes.
Step 3Whisk together egg and a dash of granulated sugar to make an egg wash.
Step 4Make 3 to 4 slits on each bun, then brush buns liberally with egg wash. Sprinkle each bun with granulated or coarse sugar, about 1 tablespoon total, and bake at 350 degrees until golden brown, 18 to 22 minutes.