Beat the egg yolks, then pass them through a fine-meshed strainer into a heat-proof bowl.
Combine the remaining ingredients in a small, heavy saucepan. Bring to a boil over medium heat and cook until the syrup reaches the soft-ball stage (There are two easy ways to tell: If you use a candy thermometer, this stage is between 235 and 240 degrees F. The low-tech way to test for readiness is to drop a small amount of the syrup into a bowl of ice water. If the syrup is ready, it will form a soft little ball that you can easily pick up and press flat between your fingers; if it's not ready yet, it will dissolve in the water).
Remove the cinnamon stick and lemon zest from the syrup, then gradually whisk the syrup into the egg yolks.
Return the syrup and egg mixture to the saucepan. Cook over medium heat, whisking constantly, until the mixture thickens and starts to pull away from the sides of the pan.
Put the mixture in a clean container and refrigerate until firm.
Roll the cooled mixture into walnut-size balls and roll the balls in sugar.
If you want to be fancy, put the balls in frilly little paper cups for serving.