Heat up the heavy cream until lukewarm, be careful if the cream is too hot the yeast won't rise.
Pour lukewarm cream into the bowl of a stand mixer fitted with a dough hook attachment. Sprinkle yeast and 1 tsp sugar on top of the milk. Give it a stir with a spoon and allow to sit for 5 minutes. The mixture should be frothy after 5 minutes. If that isn't the case, start over with new yeast.
With the stand mixer running on low speed, add flour, sugar, vanilla extract, lemon zest, 2 eggs and 1 egg white. Save the egg yolk for brushing the bread before baking.
Knead for 5 minutes until a soft and only slightly sticky dough forms that pulls away from the sides of the bowl. If the dough is too sticky to handle, add a little bit more flour, start with 1 Tbsp.
Form the dough into a ball and place it in a greased bowl. Turn the dough to coat all sides and cover the bowl with plastic wrap. Place the bowl in a warm environment to rise until doubled, about 1-2 hours.
Once the dough has doubled in size, turn it out onto a lightly floured surface. Shortly knead the dough to release the air bubbles. Divide the dough into 4 equal pieces and shape each of them into a 12-inch long rope. Grease a baking pan (or line it with parchment paper) and place the ropes side by side.
Punch the upper ends of the ropes together. You have rope 1,2,3 and 4. We start with rope 4 and place it over rope 3, under rope 2 and over rope 1. Now you repeat this with rope 3: Over rope 2, under rope 1 and over rope 4. Repeat this process until all the ropes are braided together. Punch the ends of the bread together.
Cover the bread with cling film and let it rise in a warm environment while you preheat the oven to 350°F (177°C).
Combine the remaining egg yolk and 2 tbsp heavy cream and brush the bread with it. Bake it for 25 minutes or until golden brown. Transfer the bread to a cooling rack.