In a double broiler over low heat, combine egg yolks, milk, vanilla extract and lemon zest. Cook, stirring regularly, for about 30 to 40 minutes or until mixture thickens into a spreadable paste. Transfer custard into a bowl and cover with wax paper until ready to use.
In a bowl, combine egg whites and cream of tartar. Using an electric mixer, beat at low speed. As the egg whites start to turn opaque and begin to fluff into a thick foam, gradually add the sugar in small amounts and continue to beat while gradually increasing speed of mixer until stiff peaks form. The whipped whites will be smooth and glossy, with no sugar grains.
Line a 14 x 16 baking sheet with wax paper and lightly grease surface of paper. Transfer meringue onto prepared baking sheet and using a spatula, spread evenly across into about 1/4-inch thick. Bake in a 350 F oven for about 20 minutes or until meringue is set and top has turned to light brown. Remove from oven and allow to cool.
Using a fine mesh sieve, light dust top with powdered sugar. Place another layer of greased wax paper and another baking sheet over meringue. Gently invert meringue onto the new baking sheet and peel the wax paper on top.
Spoon custard on top and spread evenly on cooked meringue, leaving about 1/4 without filling. Starting on the filled side, carefully roll meringue into a log. Cover both ends of the brazo de mercedes with wax paper and chill in the refrigerator for about 1 hour. To serve, cut into desired thickness.