Make the tangzhong: Whisk water and flour in a saucepan over medium heat. Cook, whisking constantly, until thickened into a paste (4–5 minutes). Transfer to a bowl and let cool.
Prepare lemon sugar: Rub lemon zest into granulated sugar until fragrant and slightly damp.
Make the dough: In a stand mixer bowl, combine flour, lemon sugar, yeast, and salt. Add heavy cream, milk, egg, and tangzhong. Knead on low for 2 minutes until a rough dough forms.
Incorporate butter: Add butter one tablespoon at a time while mixing. Continue kneading for about 12 minutes until smooth and elastic.
First rise: Shape dough into a ball and place in a greased bowl. Cover and let rest for 30 minutes.
Make filling: Mix butter, brown sugar, lemon zest, and vanilla until smooth.
Roll & fill: Roll dough into a 21×15-inch rectangle. Spread filling evenly, leaving a 1-inch border. Spread lemon curd over the filling.
Shape rolls: Cut into 12 strips and roll each one. Place into a lined or greased 9×13-inch pan.
Second rise: Cover and let rise 1–2 hours until doubled in size. Preheat oven to 325°F (162°C).
Bake: Bake for 30–35 minutes until lightly golden on top.
Make frosting: Beat cream cheese and butter until smooth. Add powdered sugar and mix until fluffy. Stir in lemon zest and cream.
Finish: Cool rolls for 15 minutes, then spread frosting on top. Add extra lemon curd and serve warm.