For the filling, in a small saucepan, add milk and sugar, and heat until hot and sugar is dissolved, add poppy seeds and lemon zest, and mix until incorporated. Set aside to cool.
For the pastry, in a food processor (or bowl) pulse flour, powdered sugar, and baking powder.
Add cold cubed butter and pulse until large crumbs form.
Add milk, egg, and lemon juice and zest and pulse just until dough begins to come together.
Turn dough out onto a lightly floured work surface and gently knead until dough comes together evenly.
Divide the dough into 3 equal pieces, and every piece pat into a disk and wrap tightly in plastic wrap. Refrigerate for at least 1 hour or up to overnight.
Preheat oven to 175 °C (350 °F).
Unwrap dough disk and roll on a lightly floured surface, until very thin, around 2 millimeters. Spread 1/3 of a filling, living a 1-2 cm border. Cut into 16 wedges, starting with the wide edge, roll up each wedge.
Repeat the process with remaining dough and filling.
Place the cookies, points tucked under, on a baking sheet lined with parchment paper. Bake in the preheated oven, around 20 minutes. Cookies should not turn brown, must remain pale, or a little bit yellow on edges.
Once baked, leave them to cool, and then sprinkle with powdered sugar.