Start by measuring and preparing all the ingredients in the recipe.
Making yeast starter: Take ½ cup of warm water from the measured ingredients and dissolve all the honey in it. Combine about ⅔ cup of flour with the active yeast. Whisk the flour mixture with the sweetened water to form a semi-thick dough with no lumps.
Cover the bowl with a clean tea towel and let rise in a warm place for about 30-45 minutes.
Walnut filling: While the yeast is activating, prepare the nut filling. Bring the cream and milk to a boil in a saucepan. Be careful; as soon as it comes to a boil, immediately remove the saucepan from the heat. Dissolve the sugar in the hot milk, then add the ground nuts, vanilla, lemon zest, and ground cinnamon. Let the nut filling cool to room temperature.
Making yeast dough: Add the rest of the lukewarm water, flour, and sugar to the bowl with the activated yeast. Mix roughly for about a minute.
Add the salt and softened butter. Knead the dough until smooth and elastic. I ran my stand mixer with a dough hook for 8 minutes on medium speed.
Cover the bowl with a cloth and let rise in a warm place until the dough has doubled in volume. This will take about an hour or two, depending on room conditions.
In the meantime, line a baking sheet with parchment or wax paper.
Assembling nut rolls: Dump the raised dough onto a lightly floured surface and knead briefly. Divide into two halves, shape each into a small ball, and leave to rest for ten minutes.
Using a rolling pin, roll one rested ball of dough into a rectangle about 12 × 10 inches and about ¼ inch thick. Spread the walnut filling over the dough, leaving about an inch of space around the edges. An angled cake spatula makes the spreading easier.
Start rolling the dough lengthwise, like a jelly roll. Gently tighten the dough as you roll. Finish the roll with the seam facing down. Press the ends of the roll together and tuck them underneath. Place the roll, seam side down, on a lined baking sheet.
Repeat with the second piece of dough the same way.
Egg wash: In a deep bowl, beat the egg with a fork. Using a pastry brush, brush the rolls on all sides.
Allow the formed rolls to rise for another 30 minutes.
Baking: Preheat the oven to 375°F (190°C). Put the baking sheet with the rolls on a medium rack and bake for 25-30 minutes.