I used my stand mixer to knead the dough.
Whisk the flour, milk powder, yeast and salt in the bowl of the mixer. In a separate bowl, beat the egg with the water until well blended. Add this mixture to the flour and start kneading. Knead initially at low speed and then increase the speed and knead until you have a stiff dough. Add the sugar and continue to knead.
Now incorporate the butter in to the dough and start kneading again until the dough becomes soft and elastic. The dough will appear very sticky in the beginning, but as you knead it will become less sticky.
Shape the dough and place it in a greased bowl to rise until it doubles in volume (about an hour).
In the same mixer bowl, cream the butter and sugar using the whisk attachment, until it turns white and fluffy. Now slowly add the egg and beat until it is incorporated well. Add the vanilla extract and beat again.
Whisk the flour, baking powder and salt in a separate bowl and add it to the butter mixture. Also add the lemon zest and beat until combined.
Shape the dough into a log and wrap in plastic. Refrigerate this until the bread dough is ready.
Once the dough has doubled, deflate the dough gently in a lightly floured surface. Weigh and divide the dough into 8 balls (about 60 gms each).
Work with one piece of dough at a time and keep the rest covered to prevent drying out.
Remove the cookie dough from the refrigerator and slice them into 8 equal parts. Take a piece of the cookie dough and place it between two pieces of plastic wrap. Using a flat bottom bowl, press on the cookie dough until it flattens. The dough should be large enough to cover the bread rolls. repeat the same with all the cookie dough and place it on a floured baking tray.
Now take one bread dough ball and place the cookie layer on top of it. Cover the entire top of the bread roll (the bottom should be open) and shape it into a smooth ball shape.
Hold the shaped dough in the bottom and roll it onto the castor sugar to coat the top.
Now using a scraper or a blunt knife, draw crisscross shape on the cookie layer. The pattern should be deep, otherwise they will disappear when the rolls rise for the second time. Repeat the process with the rest of the dough.
Place these on a parchment layered baking sheet and let them rise for about an hour.
Bake the rolls in a preheated 350 F oven for about 22-25 minutes or just until the top of the Melon pan starts to turn brown. If left too long, the bottom layer will burn.
Transfer the Melon pans to a cooling rack to cool thoroughly.