Heat the milk to around 110 °F (45 °C). Add the yeast and sugar, and mix well. Set aside for about 2-3 minutes until the milk starts to bloom (you’ll see it bubble up).
In a large mixing bowl, combine the flour, eggs, yolks, oil and bloomed yeast-milk mixture. Using a spatula, gently stir and mix the dough until it becomes smooth and silky. Add the salt and stir one more time. Cover the mixing bowl with plastic wrap and let the dough rest for 20-30 minutes until it doubles in size.
In the meantime, prepare the syrup. In a medium saucepan, mix the water and sugar and bring it to a boil over a medium-high heat. Stir until the sugar is completely dissolved, about 2-3 minutes. Add the rum and lemon zest and boil for 2 more minutes. Remove from the heat and let the syrup cool.
Preheat the oven to 360 °F (185 °C) degrees.
Place parchment baking liners in a muffin pan. Using a spoon, fill each muffin cup about 3/4 full. Allow it to rise for a second time until the dough rises close to the top, about 10-15 minutes.
Place the muffin pan in the oven and bake for 20-25 minutes, or until the top is golden brown*. Remove from the oven and let them cool.
In the meantime, in a large metal bowl, mix the sugar, vanilla beans, lemon zest and whipping cream. Using a whisk or a hand mixer, whisk until you get stiff peaks.
When the cakes are cold, flip them upside down and cut them crosswise about one inch from the top (flat side) to make a little lid.
Immerse the cakes in the rum syrup and let them soak for about 30 seconds each.**
Spoon whipped cream into a pastry bag. Pipe the whipped cream between the layers of the cake.
Using a knife, carefully spread jelly on the top of each cake.
Place the savarin cakes in the refrigerator for an hour before serving.