01 - Combine warm milk and yeast in a small bowl. Let stand for 5 minutes until mixture becomes foamy, indicating yeast activation.
02 - In a large mixing bowl, beat softened butter and granulated sugar until light and fluffy. Add eggs one at a time, mixing thoroughly after each addition. Incorporate salt, nutmeg, vanilla extract, and lemon zest.
03 - Pour the activated yeast mixture into the butter mixture. Gradually add flour while mixing. Knead for 8 minutes by hand or 5 minutes with a stand mixer fitted with a dough hook until a soft, smooth dough forms.
04 - Place dough in a greased bowl, cover with plastic wrap or a clean towel, and let rise in a warm, draft-free area until doubled in size, approximately 1.5 hours.
05 - Combine brown sugar and ground cinnamon in a small bowl, mixing until evenly blended.
06 - Punch down risen dough and roll out on a floured surface into a 10x20-inch rectangle. Brush melted butter evenly over the surface, then sprinkle with cinnamon-sugar mixture.
07 - Starting from the long side, roll dough into a tight log and pinch seam to seal. Transfer to a parchment-lined baking sheet and form into a ring, pinching ends together securely. Optionally tuck plastic baby into the dough from underneath at this point.
08 - Cover the ring loosely and let rise until puffy, approximately 30–45 minutes.
09 - Preheat oven to 350°F. Bake for 25–30 minutes until golden brown and cooked through. Cool completely on a wire rack before decorating.
10 - Whisk powdered sugar, milk, vanilla extract, and pinch of salt in a small bowl until smooth and pourable. Adjust consistency with additional milk if necessary.
11 - Drizzle icing evenly over cooled cake. Immediately sprinkle with purple, green, and gold colored sugars in alternating sections to create traditional Mardi Gras colors.