Put the water, sugar, lemon zest, cinnamon, and vanilla into a saucepan and bring to the boil. Let it boil until it reaches the consistency of syrup and the sugar has completely melted.
Mix the flour, milk, and salt well in a second saucepan. Cook over low heat, stirring continuously for 5 minutes or until very well blended and a thick cream begins to form.
Let both mixtures cool for 10 min.
Remove the cinnamon stick and mix the cream and the syrup together. Add the egg yolks, one at a time, and mix well until you get a fine golden custard.
Cut out circles from the puff pastry sheet using either a glass or a special cutter.
Grease the muffin tray or cups well with oil and place each circle of dough into a cup, pressing with your fingers to spread and thin it.
Fill each cup, leaving about one third empty so that the filling can expand.
Bake for 20-25 minutes at 230 °C/445 °F. You will know the tarts are done when they become firm and have brown spots on the surface.
Allow to cool for 10-15 minutes before removing them from the tray/cups and use a spoon or spatula to gently detach the edges if stuck.
You can also sprinkle powdered sugar or cinnamon on top. Enjoy warm or store at room temperature for 1-2 days.