Prepare the Dough:

1. Activate the Yeast: In a small bowl, combine the lukewarm milk and a tablespoon of sugar. Sprinkle the yeast over the milk and stir gently. Let it sit for 5-10 minutes, until the mixture becomes frothy.

2. Mix Wet Ingredients: In a large bowl, whisk together the melted butter, eggs, the remaining sugar, vanilla extract, and salt. Add the lemon zest if using for an extra burst of flavor.

3. Add the Yeast Mixture: Pour the activated yeast mixture into the bowl with the wet ingredients and stir to combine.

4. Gradually Add the Flour: Begin adding the flour to the wet ingredients, 1 cup at a time. Use a spatula or your hands to mix it into a sticky dough.

5. Knead the Dough: Transfer the dough onto a lightly floured surface and knead it for about 8-10 minutes, until the dough is smooth and elastic. If the dough is too sticky, sprinkle in a bit more flour, but be careful not to add too much, as it should remain slightly tacky.

6. Let the Dough Rise: Place the dough in a greased bowl and cover it with a damp cloth. Let it rise in a warm spot for about 1.5-2 hours, or until it has doubled in size.

Prepare the Filling:

7. Mix the Filling Ingredients: While the dough is rising, prepare the filling by mixing the ground walnuts, sugar, cocoa powder, cinnamon, vanilla extract, and milk (or water) in a small bowl. Stir until it forms a thick paste.

8. Set the Filling Aside: Set the mixture aside while the dough continues to rise.

Assemble the Cozonac:

9. Roll Out the Dough: After the dough has risen, punch it down gently and transfer it to a floured surface. Roll it out into a rectangle that is about 12×18 inches (30×45 cm).

10. Spread the Filling: Spread the walnut and cocoa filling evenly over the surface of the dough, leaving a small border around the edges.

11. Roll the Dough: Starting from one long edge, carefully roll the dough into a tight log. Pinch the edges to seal the roll and prevent the filling from spilling out during baking.

12. Form the Cozonac: Coil the rolled dough into a spiral shape or twist it into a braid. Place the shaped dough into a greased loaf pan, making sure it fits comfortably.

Bake the Cozonac:

13. Let the Dough Rise Again: Cover the loaf pan with a damp cloth and let the dough rise for another 30-45 minutes, or until it has risen slightly above the edge of the pan.

14. Preheat the Oven: Preheat your oven to 350°F (175°C).

15. Glaze the Cozonac: Brush the top of the dough with the beaten egg to give it a glossy finish. If desired, sprinkle some sesame seeds on top for extra texture.

16. Bake: Bake the cozonac for 40-45 minutes, or until it is golden brown on top and a toothpick inserted into the center comes out clean.

Cool and Serve:

17. Cool: Allow the cozonac to cool in the pan for 10-15 minutes before transferring it to a wire rack to cool completely.

18. Slice and Serve: Once cooled, slice the cozonac into thick pieces and serve. Enjoy it fresh, or store leftovers in an airtight container for up to 3 days.