Mix all the filling ingredients in a sauce pan (cream, milk, yolks, vanilla extract, sugar, flour and lemon zest). Bring up to medium heat, continuously whisking. When the mixture starts to boil and starts to get thicker, take off the heat and whisk for about a half a minute before setting it aside to cool a little.
Roll the pastry on a floured surface. Depending on the shape of your pie tin, roll it into a circle. Lift the rolled pastry carefully on top of a greased 20cm pie tin. The pastry should cover the edges. Press the pastry on the bottom and sides of the pie tin and cut the extra off from the sides.
Pour the vanilla custard on top of the crust.
Bake in the oven for about 18-24 minutes until the pastry is beautifully golden brown and the vanilla custard filling looks the same as in the classic pastéis de nata pastries (see the pictures before the recipe).
Take off the oven and leave to cool for 2-3 hours until the filling is set. For an authentic Portuguese experience, finish the pie with some grounded cinnamon. Enjoy!