For the nut balls, mix nuts with sugar, vanilla sugar, breadcrumbs, lemon juice, milk and rum, season with cinnamon. Preheat the oven to 180 °C. Dissolve yeast in a little milk.
Quickly knead flour with butter, sugar, egg, salt, lemon zest, yeast and milk to a dough. Roll out the dough to the thickness of the back of a knife and cut rectangles approx. 7×10 cm.
Place a large spoonful of filling in the center of each and roll diagonally, forming balls. Place on a coated baking sheet and brush with egg yolk, let rise for 15 minutes.
Bake the nut balls in the preheated oven for about 20 minutes until golden brown.