Butter a 1-litre baking dish that will quite snugly fit the buns. Cut each bun into 3 slices, and sandwich back together with a generous spreading of curd. Arrange buns in the dish.
Whisk egg, cream, milk and remaining curd, then sieve into a jug with the vanilla and 3 tbsp of the sugar. Pour over the buns and stand at room temperature for 30 mins for the custard to soak in.
Heat oven to 160C/140C fan/ gas 3. Scatter the remaining sugar and lemon zest over the pudding. Bake for 30-40 mins until the top is golden and the custard gently set. Stand for 5 mins, then serve with cream or vanilla ice cream, if you like.