In a large bowl, combine egg yolks, sugar, and cornstarch and mix until completely smooth. Set aside.
In a medium saucepan, combine milks, lemon zest, cinnamon stick, and salt and bring to a boil over medium-low heat, watching closely and stirring occasionally to avoid scorching milk. As soon as milk boils, remove from heat and let cool about 5 minutes. Remove lemon zest and cinnamon stick.
Gradually pour heated milk into egg mixture, stirring constantly with wooden spoon (or using paddle attachment of stand mixer set on low). Return custard mix to same saucepan used to heat milk, set over medium heat, and bring to a boil, stirring constantly. Reduce heat to low, then cook 2 to 3 minutes, or until pudding thickens to desired consistency. Add vanilla, stir and remove from heat.
Using ladle, fill 8 custard cups. Let natilla cool at room temperature, about 45 minutes. Refrigerate until completely chilled, at least 3 hours. Serve with dusting of cinnamon.