In a mixing bowl, combine the flour, warm milk, egg yolks, sugar, lemon zest, nutmeg, salt, and yeast. Use a mixer to knead the mixture briefly until everything is roughly combined, typically on level 2-3 for about a minute or two.

Next, add the oil and allow the dough to knead at medium speed for 10 minutes.

Using a plastic spatula, remove the smooth dough from the mixing bowl and put it on a lightly flour-dusted working board. Shape the dough into a rough ball and transfer it to a clean bowl. Sprinkle a bit of flour on top, cover it with a clean tea towel, and let it sit until it doubles in volume.

While the dough is rising, prepare the poppy seed filling. In a bowl, mix the ground poppy seeds with the sugar and cinnamon by hand. Add the yogurt, raisins, and rum and stir to combine. Leave to rest, the filling will thicken slightly.

Roll out the dough into as regular a rectangle as possible. Divide it in half from top to bottom and in thirds across.

Spread a little poppy seed filling on the longer side of the rectangle. Roll up the rectangle so that it ends with the seam side down. Press the ends together to keep the filling from leaking out. Bend the rolls into a horseshoe shape. Continue until you have made all the horseshoes.

Place the shapes on a buttered baking sheet. Cover with a clean tea towel and leave in a warm place to rise for a further 30 minutes.

Before you start baking, preheat the oven to 350°F (180°C). Then, take a bit of the egg white you have left from making the dough and brush it on top of the horseshoes. The egg wash makes the rolls glossy. Now, put the horseshoes in the oven and bake them for 20 minutes until they turn golden brown on the outside.