Heat oven to 350°F. Line two baking sheets with parchment.
Whisk flour with baking powder and salt in a bowl; set aside.
Cream butter and sugar until pale and fluffy, about 2–3 minutes.
Beat in the egg and yolks one at a time, then add vanilla and lemon zest.
Mix in the dry ingredients on low just until combined. Splash in milk if needed to bring dough together.
Chill dough 15 minutes to firm slightly for easier shaping.
Pinch off pieces and roll into 6–7 inch ropes, about 1/2 inch thick.
Form rings or S-shapes. Arrange on trays, spacing about 2 inches apart.
Bake 10–12 minutes, until edges are just turning golden and centers look set.
Cool 5 minutes on the sheet, then transfer to a rack to finish cooling.