Heat oven to 180c fan bake. In a bowl, place butter and sugar, then beat until pale and creamy. Beat in egg and cold milk. Stir in lemon zest and sifted flours to form a dough.
Transfer the dough to a lightly floured work surface and knead gently. Roll dough out to 5 mm thick and form into a rectangle.
Spread surface with jam and roll out into a log. Cut the log into six thick slices and pack these into a greased oven dish, swirl side up.
Pour hot milk over the swirls and bake for 25 to 30 minutes or until puffed and golden brown. Serve with whipped cream, yoghurt or ice-cream, if desired.