Gently heat the milk in a saucepan with the cinnamon and lemon peel. Do not boil. Add the sugar and stir occasionally. Continue to heat for several minutes, but do not bring to the boil.
Remove the milk from the heat and pour into a bowl. Allow to cool just slightly, then dip the baguette slices into the milk mixture. Once thoroughly soaked, remove from the bowl, draining excess liquid.
Gently dip both sides of the baguette slices in the beaten egg.
Heat about 2cm of olive oil in a frying pan. Once hot, but not smoking, add the baguette slices and cook until browned. Flip and cook on the other side till brown.
Remove from oil and drain on a plate lined with kitchen paper. Sprinkle generously with a mixture of ground cinnamon and caster sugar. Enjoy!