01 - Whisk warm milk with 1 tablespoon sugar in a small bowl. Sprinkle yeast over the 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 a sticky dough forms.
03 - Knead dough by hand or with mixer using dough hook for 8-10 minutes until smooth and elastic. Transfer to a greased bowl, cover, and let rise in a warm location until doubled in size, about 1 to 1.5 hours.
04 - Beat cream cheese, powdered sugar, and vanilla extract until smooth and creamy. Set aside until dough is ready.
05 - Punch down risen dough. Roll into a 10x20 inch rectangle on a lightly floured surface. Spread cream cheese filling along one long edge, leaving a 1-inch border.
06 - Roll dough tightly jelly-roll style starting from the filling edge. Pinch seam to seal. Shape into a ring by connecting ends and pinching together. Place seam side down on parchment-lined baking sheet.
07 - Cover and let rise until puffy, approximately 45-60 minutes.
08 - Preheat oven to 350°F. Bake for 25-30 minutes until golden brown. Cool completely on wire rack.
09 - Whisk powdered sugar, milk, and vanilla until smooth and pourable. Drizzle over cooled cake and immediately sprinkle with alternating sections of purple, green, and gold sanding sugar.