Remove lemon zest from milk and discard; slowly whisk hot milk into egg mixture. Return mixture to saucepan and place over medium heat; cook, stirring constantly, until cream thickens and begins to boil.

Transfer pastry cream to a large bowl; cover with plastic wrap, pressing down on the surface to prevent a skin from forming. Let cool completely.

Make the dough: In a large bowl, whisk together flour and baking powder. Whisk eggs in another large bowl. Add sugar and whisk to combine. Whisk in milk, butter, and lemon zest until smooth. Gradually add flour mixture, mixing with a fork, until dough is smooth and stiff. Let dough rest for 5 minutes.

Preheat oven to 350 degrees. Line two baking sheets with nonstick baking mats; set aside.

Using a lightly mounded tablespoon of dough, roll the dough firmly between your palms to make a smooth round ball, about the size of a walnut. Repeat process, taking care to make sure all the balls are fairly uniform in size. Place balls on prepared baking sheets spacing about 1 inch apart; you should be able to fit 24 balls on each baking sheet. Flatten tops slightly with your fingertips.

Transfer to oven and bake until bottoms are lightly browned, about 15 minutes; tops will remain pale. Transfer to a rack and let cool slightly.

Assemble the peaches: While the cookies are still warm, use a small, sharp knife to cut a circle about the size of a quarter on the bottom (flat) side of each cookie, taking care not to crack the edges. Use the tip of the knife to scrape out enough crumbs to make hollow and hold about 1 teaspoon pastry cream. Set cookies aside.

Place rum or maraschino liqueur and schnapps in a small bowl. Add enough red and yellow food coloring to create your desired shade of peach; set aside. Fill a shallow bowl with sugar; set aside.

Fill each hollowed-out cookie with 1 teaspoon filling. Sandwich two cookies together so that the filling comes just to the edge, taking care not to crack or break. Using a pastry brush, brush "peach" with colored liquor and roll in sugar to coat. Transfer to a large airtight container and repeat process with remaining cookies, liqueur, and sugar. Cover container and transfer to refrigerator; let chill overnight.