Combine milk, cinnamon stick, and lemon zest in a saucepan over low heat. Cook for 10 minutes without letting it boil.
Meanwhile, beat egg yolks and sugar in a bowl with an electric mixer until light and creamy. Beat in cornstarch. Continue beating until mixture is smooth and lump-free.
Remove and discard cinnamon stick and lemon zest from milk. Gradually add egg yolk mixture to the milk, and beat with a whisk over low heat until mixture starts to thickens, about 10 minutes. Bring custard to a boil and immediately remove from heat.
Pour custard into individual serving dishes and chill in the fridge until set, about 2 hours.