King Cake is a traditional dessert that is popular in the United States, particularly in the southern region, during the Mardi Gras season.
In a large bowl, whisk together the warm milk and yeast. Let the mixture sit for about 5 minutes, until the yeast is foamy.
Add the sugar, melted butter, egg yolks, vanilla extract, lemon zest, and salt to the bowl. Stir until well combined.
Add 4 cups of the flour to the bowl and stir until the dough comes together. If the dough is still sticky, add more flour, a tablespoon at a time, until the dough is smooth and elastic.
Turn the dough out onto a lightly floured surface and knead for about 5 minutes, until the dough is smooth and supple.
Transfer the dough to a greased bowl and cover it with a clean kitchen towel. Let the dough rise in a warm, draft-free place for about 1 hour, or until it has doubled in size.
While the dough is rising, make the filling. In a large bowl, beat together the cream cheese, sugar, vanilla extract, flour, and egg yolk until smooth.
Divide the filling into three small bowls and tint each bowl a different color with food coloring. Preheat the oven to 350°F. Line a baking sheet with parchment paper.
Once the dough has risen, punch it down and roll it out on a lightly floured surface into a rectangle about 22 inches long and 10 inches wide.
Spread the tinted filling over the center of the dough in 3 long strips.Fold the long sides of the dough over the filling, pinching the edges to seal.
Carefully transfer the dough to the prepared baking sheet, forming it into a ring and pinching the ends together to seal.
In a small bowl, whisk together the egg and milk. Brush the egg wash over the dough.Sprinkle the colored sugar or sprinkles in alternating stripes around the ring.
Bake the King Cake for 25 to 30 minutes, or until it is golden brown and sounds hollow when tapped.
Let the King Cake cool on the baking sheet for a few minutes before transferring it to a wire rack to cool completely.