Whisk together the flour, powdered milk, yeast, and salt in the bowl (or the bowl of your machine if using one). In a smaller bowl, beat the egg and cold water together with a fork till well blended. Add this to the flour mixture in the bowl.
Knead (on low speed in the machine) till it all come together as a dough and then (on medium speed) until you have a somewhat stiff dough. Add the sugar and knead well.
Now add the butter and knead (first at slow speed and then on medium) until the butter is completely incorporated into the dough and the dough becomes smooth and elastic. The dough should well-kneaded to develop the gluten.
Shape the dough into a round, and place it in a lightly oiled bowl. Cover and let it rise till double in volume (about an hour or so).
During this time make the cookie dough. In a bowl, cream the soft butter and sugar till fluffy. Add the egg and vanilla extract and beat till combined. Whisk together the flour, baking powder and salt and add this to the bowl. Also add the lemon zest. Beat together until just combined.
Shape the dough into a cylinder (this will make the dough easy to divide and flatten out later), and wrap in cling film. Refrigerate the dough until required.
Now go back to the bread dough. Once it has doubled in volume, place it on a lightly floured work surface. Lightly grease your baking sheet or line it with parchment. Deflate the dough gently and divide it into 8 equal portions.
Shape each portion into a smooth ball like for bread rolls. Work with one portion and keep the others covered so they don’t dry out.
Unwrap the cookie dough. It should be reasonably firm now and easy to work with. Slice the cylinder of cookie dough into 8 equal portions. Use two pieces of plastic sheets or cling film to flatten the cookie dough. Place one slice/ round of cookie dough on a piece of plastic sheet/ cling film. Cover with another piece, and using a flat bottomed pan, press down on the dough to flatten it, until it is reasonably thin but not very much so.
Carefully take on ball of bread dough (it will have puffed up a little so don’t deflate it), and place the circle of cookie dough on top of it. Gently press the cookie dough edge to the bread dough ball so that it covers the top and sides of the ball, but leaves the bottom open. Gently, holding the covered bread dough by the underside, press it into some castor sugar. Then using a scraper, or the blunt side of a knife, mark the top of the cookie dough side of the bread roll with a cross hatch/ diamond pattern. The pattern should be deep enough (otherwise it will disappear when the bread rises and bakes) without cutting through the cookie dough layer into the bread.
Place this on the greased or parchment lined baking sheet. Repeat this with the remaining cookie dough and bread dough balls. Let them rise for an hour.
Bake them at 350F for about 25 minutes, until the tops of the Melon Pan just start turning brown. If you let them brown too much, the underside of the bread will burn. Transfer to a wire rack to cool thoroughly.