Soak the gelatine in the cold water for at least 10 minutes.
Beat the yolks with the grated lemon zest, the juice of one lemon and the vanilla sugar with a hand mixer for about 5 minutes until creamy. Add the sugar and continue beating until the sugar is dissolved.
In the meantime, squeeze the gelatin well and melt it in a water bath (or carefully in the microwave) and stir it into the cream. Add the milk, stir gently (splash!) and let it all set together in the fridge until semi-solid. Stir from time to time.
Whip the egg whites to egg whites and fold into the semi-solid cream. Divide the cream evenly into glasses and set.