Heat Water (1/2 cup) and Milk (1/4 cup) between 105 - 115 degrees F (40 - 46 degrees C).
Combine milk, water, Granulated Sugar (3 tablespoon), and Instant Dry Yeast (1 package). Allow yeast to proof (5 minutes).
Add Egg (1), Butter (2 1/2 tablespoon), and All-Purpose Flour (2 3/4 cup) to the yeast mixture. Mix together. Dough should clean itself from the side of the bowl.
Turn dough out onto floured surface. Knead for 3-4 minutes or until dough is smooth and elastic.
Cover dough and allow to rest for 10 minutes.
For the filling, combine Lemon (2), Granulated Sugar (3/4 cup), Butter (1/4 cup) and Vanilla Extract (1/2 teaspoon).
After dough has rested, roll dough into a rectangle.
Spread butter over dough, then spread with filling.
Roll dough tightly lengthwise. Cut into 12 pieces.
Take each piece and press the center with a straw or clean pencil.
Place rolls on a lined or greased baking sheet. Allow to rise for 1 hour.
Bake at 350 degrees F (180 degrees C) for 25-30 minutes.
For the glaze, mix together Lemon Juice (1 1/2 tablespoon) and Powdered Confectioners Sugar (1 cup). Drizzle the glaze over the rolls.