These tarts are famous thanks to the Jerónimos Monastery in Lisbon (Pastéis de Belém). The key to perfection is the contrast between the crispy, layered pastry and the creamy, hot filling. The filling is baked at an extremely high temperature to achieve the characteristic browning and bubbly texture.
To roll the puff pastry, use a muffin tin or special Pastel de Nata moulds.
In a saucepan, combine the sugar, water, cinnamon stick, and lemon zest. Bring to a boil and boil for exactly 5 minutes until a thicker syrup forms (105 °C, if you have a thermometer).
Remove from heat and leave the cinnamon stick and lemon zest in the syrup to infuse the flavour while the syrup cools slightly (about 30 minutes).
In a second saucepan, mix the heavy cream and milk. Heat over low heat until hot, but do not boil.
Lightly whisk the egg yolks in a large bowl. Remove the cinnamon stick and lemon from the sugar syrup.
While continually whisking the yolks, slowly pour the hot sugar syrup into the yolks. Then, just as slowly, pour in the hot milk-cream mixture.
Strain the cream through a fine sieve to ensure it is perfectly smooth and lump-free.
Roll the puff pastry into a tight cylinder, about 4 cm in diameter. Slice the cylinder into 12 equal pieces (about 1-1.5 cm thick).
Place each slice into a muffin tin (or a special Pastel de Nata mould). Use your thumb and forefinger to press the pastry from the centre towards the edges to form a thin cup, slightly thicker at the edges and overlapping the mould rim.
Preheat the oven to a very high temperature, ideally 260 °C (500 °F) (or the highest possible if yours is lower).
Fill the pastry cups with the custard filling (about 3/4 full).
Bake for 10-15 minutes. The tarts are done when the cream is bubbling vigorously and the surface of the cream is dark caramelized, almost burnt.
Remove from the oven, let cool for 2 minutes, remove from the moulds, and serve warm, dusted with cinnamon and powdered sugar.