In a bowl, combine 2 cups flour, sugar, yeast, lemon zest and salt. In a saucepan, heat milk, butter and water to 120°-130°. Add to dry ingredients; beat until moistened. Add egg and egg white; beat on medium speed for 2 minutes. Stir in enough remaining flour to form a soft dough. Cover and let rest for 10 minutes. Turn onto a lightly floured surface. Roll into a 12-in. square; cut into sixteen 3-in. squares.
Combine filling ingredients; spoon onto center of each square. To form pinwheels, diagonally cut dough from each corner to within 3/4 in. of the center. Fold every other point toward the center, overlapping pieces. Moisten center edges with water; pinch to seal. Place 3 in. apart on greased baking sheets. Cover and let rise in a warm place until doubled, about 45 minutes.
Beat egg white and water; brush over pinwheels. Sprinkle with sugar. Bake at 350° for 15-20 minutes or until lightly browned. Remove from pans to cool on wire racks.