01 - Combine warm milk and yeast in a small bowl. Let stand 5 minutes until foamy. In a large mixing bowl, beat butter and sugar until light and fluffy. Add eggs one at a time, then mix in salt, nutmeg, vanilla, and lemon zest. Add the yeast mixture, then gradually mix in flour. Knead until a soft, smooth dough forms (about 8 minutes by hand or 5 minutes with a mixer and dough hook). Place dough in a greased bowl, cover, and let rise in a warm place until doubled in size, about 1.5 hours.
02 - Combine brown sugar and cinnamon in a small bowl.
03 - Punch down the risen dough and roll out on a floured surface to a 10x20-inch rectangle. Brush melted butter over the surface. Sprinkle evenly with cinnamon-sugar mixture. Starting from the long side, roll up the dough into a log. Pinch the seam to seal. Transfer log to a parchment-lined baking sheet and form into a ring, pinching ends together. Cover and let rise until puffy, about 30–45 minutes. Optionally tuck the plastic baby into the dough from underneath before baking.
04 - Preheat oven to 350°F. Bake for 25–30 minutes, until golden brown. Cool completely on a wire rack.
05 - Mix powdered sugar, milk, vanilla, and a pinch of salt until smooth and pourable. Drizzle icing over cooled cake. Immediately sprinkle with colored sugars in alternating sections of purple, green, and gold.