Dissolve yeast in warm milk and let it sit for 5–10 minutes.
In a large mixing bowl, combine flour, sugar, and salt.
Add melted butter, eggs, lemon zest, and vanilla to the flour mixture.
Pour in the yeast mixture and mix until a dough forms.
Knead the dough on a floured surface for about 8–10 minutes until smooth.
Place the dough in a greased bowl, cover, and let it rise for 1–2 hours or until doubled in size.
Punch down the dough and divide it into three equal pieces.
Roll each piece into a long strand, then braid them together.
Place the braided dough on a baking sheet, cover, and let it rise for another 30 minutes.
Preheat the oven to 350°F (175°C), brush the dough with the egg wash, and sprinkle with sugar if desired. Bake for 25–30 minutes until golden.