Add the ingredients to your bread machine in this order: milk, egg, butter, sugar and salt, then the flour mixed with the lemon zest. Finally, scatter the yeast on top.
Set the machine to a dough or brioche dough cycle (not bake) and let it run fully—this usually takes about 1½ hours.
Tip the dough onto a lightly floured surface and divide it into 3 equal pieces.
Roll each piece into a rope about 30–40 cm long.
Braid the strands loosely (don’t pull tight, as the dough will expand).
Place the loaf on a lined baking tray, cover loosely with a tea towel, and leave to rise for 40–45 minutes until puffy.
Brush with egg wash for a shiny crust, or milk for a softer finish.
Bake in a preheated oven at 180°C (160°C fan) for 25–30 minutes, until golden.
Transfer to a wire rack and, if you like, brush straight away with a little lukewarm milk mixed with sugar for a soft, lightly sweet glaze.