Preheat oven to 550°F (290°C). Lightly grease either a 12-cup or two 6-cup muffin tins.
In a saucepan, bring sugar, water, vanilla, lemon zest, and cinnamon stick to a boil. Cook until it reaches 220°F (100°C) on a thermometer. DON'T STIR during this process.
Whisk milk, salt, and flour together and whisking constantly, cook over medium heat until the milk has thickened, around 5 minutes. Take off burner and let cool in saucepan.
Once milk has cooled down a little, whisk in egg yolks. Whisk in sugar mixture until completely blended. Strain into a bowl.
Take sheet of defrosted puff pastry dough and cut it in half. Place one half over the other with the shorter side towards you. Roll up the sheets away from you into a cylinder. Cut the cylinder into 12 equal slices.
Lay a piece over the muffin wells. With a wet thumb, push down the center of each and then push the sides out to fit the well, leaving the pastry cut a tiny bit higher than the wells. Fill each pastry ¾ of the way up with custard.
Put the tins in the oven and bake until the custard starts to caramelize and blister on the top and the pastry starts to brown, 10-12 minutes.
Remove from oven and place on a serving tray or basket. Sprinkle with a little powdered sugar and ground cinnamon. Serve warm and try to eat just one.