Preheat the oven to 200C/400F/Gas mark 6.
Place the flour, sugar, suet and lemon zest into a large bowl and mix thoroughly.
Make a well in the centre of the mixture then gradually add enough water to make a soft dough. Knead lightly until smooth and divide into five portions.
Roll each portion of dough out on a floured surface into a rectangle about 1cm/½in thick. Spread the lemon curd out on the dough leaving a 1cm/½in border.
Roll up from the short side into a pinwheel, seal the ends well with a little water and place onto greased baking trays. Brush with the milk.
Place in the oven for 35-40 minutes, or until golden brown.