Place one sheet of puff pastry on a parchment-lined baking sheet. Prick it all over with a fork and bake for 12–15 minutes, until golden and crisp. Cool completely.
Bake the second sheet in the same way. While still warm, carefully cut it into squares or rectangles for the top layer.
To make the custard, whisk the egg yolks, sugar, cornstarch, salt, and about ½ cup of the milk until smooth.
Heat the remaining milk in a saucepan until hot but not boiling.
Slowly whisk the hot milk into the egg mixture, then return everything to the saucepan.
Cook over medium-low heat, stirring constantly, until the custard becomes very thick.
Remove from the heat and stir in the vanilla and lemon zest. Cover the surface with plastic wrap and cool completely.
Whip the heavy cream until stiff peaks form. Gently fold it into the cooled custard.
Place the whole baked pastry sheet in a deep rectangular pan.
Spread the custard evenly over the pastry.
Arrange the pre-cut puff pastry pieces over the custard.
Refrigerate for at least 4 hours, preferably overnight, until completely set.
Dust generously with powdered sugar before serving.
