Heat up the milk and add the yeast, 1 tsp sugar and 1 tbsp flour to it. Stir and leave in a warm area to bubble and triple in volume. Sift the flour, set aside the yolk of 1 egg for smearing.
Make a well in the flour and put the eggs, sugar, salt, vanilla and lemon zest in it. Pour in the milk with the yeast and knead a sticky dough. Start adding a little of the oil to it, all the while kneading and hitting the dough on the table. Knead until the oil is fully absorbed.
Leave the resulting dough covered in a warm area for 1 hour 30 min. until doubled in volume. Divide the risen dough into 4 equal-sized parts. Roll out each part into a sheet 1/2″ (1 cm) thick.
Make an X cut on the sheet, then cut each of the 4 parts into a further 3, resulting in 12 triangles total. Put 1 tsp marmalade in each triangle and roll them up, starting from the wide part and going toward the tip. That's how you make the scone.
Do this for all the remaining sheets and dough. Arrange the scones with space between them in an oiled oven dish. Leave them to rise another 30 min., smear with beaten egg yolk and sprinkle with sugar or sesame seeds.
You may have to bake them in 2-3 lots because there's quite a few of them. Bake at 338°F (170 °C) about 30 min. until golden.