Preheat oven to 400 degrees Fahrenheit.
In a small bowl, whisk together the milk and the egg and then set aside. In a large bowl, whisk together the flour, baking powder, lemon zest, and salt.
Rub the butter into the flour mixture, working until you have no lumps bigger than a pea. Add the sugar and toss to mix. Add the wet ingredients into the dry ingredients and stir to combine. Bring dough together gently with a wooden spoon.
Turn dough out onto a lightly floured counter and knead it no more than 12 times. [Apparently, twelve is the magic number here; surpass it at your own risk.] Pat dough into a round approximately 1-inch thick, and cut into 8 wedges. Place on an ungreased baking sheet or a Silpat.
Using a pastry brush, brush milk onto the wedges.
Bake for approximately 20-25 minutes, or until golden. Cool on a rack and serve with your favorite jam.