In a large bowl, add milk, 2 tablespoons sugar, water, and dry yeast. Mix and let stand for 5 minutes. Add eggs, rum, vanilla, the rest of the sugar ¼ cup, and lemon zest to this.
Wisk the liquid mixture for 3 minutes with one cup of flour. Add the rest of the flour and salt. Mix with a wooden spoon.
Place the dough on a flat surface and start kneading.
Add the butter and continue kneading. The dough will be very sticky, but the more you knead it, the less sticky it becomes. Knead for 10 minutes.
Place the dough in a large greased bowl. Cover with a cloth and let rest for 1 hour (in a warm place in the summer) or 1 hour and 45 minutes (in the winter).
Coconut Crust:
While the dough is resting, in a medium bowl mix all the ingredients for the coconut crust, and mix until it resembles a paste. Set aside.
Divide the dough into 10 equal portions, about 90 g each, and form buns. Place them on a greased baking sheet and let it rise for 30 to 45 minutes, or until double in size.
15 minutes before baking, preheat the oven to 180C / 350F.
Brush each bun with beaten egg. After brushing, add the leftover egg to the coconut crust mixture, and mix well.
With the help of a spoon, spread evenly amounts of coconut paste to each bun, being careful not to flatten them.
Bake for 25 to 30 minutes or until golden brown.
Allow to cool completely before sprinkling with icing sugar.