01 - Whisk warm milk with 1 tablespoon granulated sugar in a small bowl. Sprinkle yeast over surface and let stand until foamy, approximately 5–10 minutes.
02 - Combine flour, remaining sugar, salt, and nutmeg in a large bowl. Add melted butter, eggs, vanilla, lemon zest, and activated yeast mixture. Mix until sticky dough forms.
03 - Knead dough by hand or with mixer dough hook for 8–10 minutes until smooth and elastic. Transfer to greased bowl, cover, and let rise in warm area until doubled in bulk, about 1–1.5 hours.
04 - Beat cream cheese, powdered sugar, and vanilla extract until smooth and creamy while dough rises.
05 - Punch down risen dough. Roll into 10x20-inch rectangle on floured surface. Spread filling along one long edge, leaving 1-inch border. Roll tightly jelly-roll style from filled edge and pinch seam to seal.
06 - Shape roll into ring by pinching ends together. Place seam-side down on parchment-lined baking sheet. Cover and let rise until puffy, approximately 45–60 minutes.
07 - Preheat oven to 350°F. Bake for 25–30 minutes until golden brown. Cool completely on wire rack.
08 - Whisk powdered sugar, milk, and vanilla until smooth and pourable. Drizzle over cooled cake. Immediately sprinkle with purple, green, and gold sanding sugars in alternating sections.