01 - Combine warm milk and yeast in a small bowl. Let stand 5 minutes until foamy.
02 - Beat butter and sugar until light and fluffy. Add eggs one at a time, then mix in salt, nutmeg, vanilla, and lemon zest.
03 - Add yeast mixture to butter mixture, then gradually mix in flour. Knead until soft and smooth dough forms, about 8 minutes by hand or 5 minutes with mixer and dough hook.
04 - Place dough in a greased bowl, cover, and let rise in a warm place until doubled in size, approximately 1.5 hours.
05 - Combine brown sugar and cinnamon in a small bowl. Mix until evenly blended.
06 - Punch down risen dough and roll out on floured surface to 10x20-inch rectangle. Brush melted butter over surface, then sprinkle evenly with cinnamon-sugar mixture.
07 - Starting from long side, roll dough into a log and pinch seam to seal. Transfer to parchment-lined baking sheet and form into a ring, pinching ends together.
08 - Cover and let rise until puffy, approximately 30–45 minutes. Optionally tuck plastic baby into dough from underneath before baking.
09 - Preheat oven to 350°F. Bake for 25–30 minutes until golden brown. Cool completely on wire rack.
10 - Mix powdered sugar, milk, vanilla, and pinch of salt until smooth and pourable.
11 - Drizzle icing over cooled cake. Immediately sprinkle with colored sugars in alternating sections of purple, green, and gold.