Bring milk, butter, lemon zest and a pinch of salt to the boil. Stir in flour. Reduce heat to medium and cook for 2 minutes or until mixture starts to form into a ball. Remove from heat. Add eggs, one at a time, mixing well after each addition. Transfer to a bowl, cover and refrigerate for 30 minutes to cool.To make custard, bring milk, chocolate, sugar, cinnamon and vanilla to the boil, stirring, over medium heat. Stand for 10 minutes, then strain. Wipe pan clean and reserve. Whisk egg and flour in a bowl and add chocolate mixture, whisking until combined. Return mixture to reserved pan over medium heat. Stir continuously with a wooden spoon for 3 minutes or until mixture is thick enough to coat the back of the spoon. Stir in butter and transfer to a bowl. Cover surface with plastic wrap and refrigerate for 2 hours or until cold.
Fill a deep-fryer or large saucepan one-third full with vegetable oil. Heat over medium heat to 160°C (or until a cube of bread turns golden in 15 seconds). Working in 5 batches, drop tablespoonfuls of batter into the oil and fry, turning halfway, for 4 minutes or until golden and cooked through. Drain on paper towel. Combine cinnamon and sugar in a bowl, then toss fritters in cinnamon mixture.
Spoon custard into a piping bag with a small round nozzle. Insert into fritter and pipe custard into centre. Serve immediately.