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1
Make the crema pasticcera first so it has time to cool completely. Whisk the egg yolks with the sugar until pale, then whisk in the flour. Heat the milk with the vanilla to just below a simmer, pour it gradually over the yolk mixture, return the whole to the pan, and stir continuously over a medium heat until the cream thickens and loses its floury taste. Stir in the rum. Press clingfilm directly onto the surface and refrigerate until fully cold — the cream must be cold before it touches the pastry.
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2
Prepare the choux paste. Bring the water, butter, salt, and lemon zest to a rolling boil in a heavy saucepan. Remove from the heat, add the sifted flour in one addition, and beat vigorously with a wooden spoon until the paste pulls cleanly from the sides of the pan and forms a smooth ball. Return to a low heat and work the paste for a further minute to drive off excess moisture, then transfer to a bowl and allow to cool for five minutes.
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3
Incorporate the eggs one at a time, beating each addition fully into the paste before adding the next. After each egg, test the consistency: the paste must fall from the spoon in a slow, unbroken V-shape — neither dripping freely nor holding rigid. Humidity affects absorption; a fourth egg may not be needed in full. Stop when the correct consistency is reached. This is where the dish lives or dies: a paste too loose will collapse in the oil; too stiff, and the interior will not open into its characteristic hollow.
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4
Transfer the paste to a piping bag fitted with a large star nozzle. Cut parchment paper into 10 cm squares. Pipe the paste onto each square in a tight spiral of two or three rings, finishing with a second ring on top of the first to give height. The ridged surface from the star nozzle creates the crunch surface area.
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5
Heat the frying oil in a deep, heavy pot to 170–175°C, verified with a thermometer. Lower the zeppole into the oil parchment-side up, two or three at a time; the paper releases within seconds and is removed with tongs. Fry for 3–4 minutes on the first side until deep amber, then turn and fry for a further 3–4 minutes. The hollow interior forms only once the exterior crust is fully set and internal steam can expand: the correctly fried zeppola will be deep amber on all surfaces and perceptibly light when lifted.
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6
Lift the zeppole with a slotted spoon and transfer immediately to a wire rack — not paper towels — so that steam escapes freely and the base remains crisp. Allow to cool completely at room temperature.
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7
Fill the cold zeppole by piping cold crema pasticcera through the hollow core from beneath, then pipe a generous dome on top. For the traditional Neapolitan presentation, place one or two drained amarene in the centre of the cream dome. Dust lightly with icing sugar and serve promptly — the contrast between crisp exterior, airy choux, cold cream, and sharp cherry is the whole point.