Bring jam and lemon zest to a boil in a small saucepan, and cook, stirring, until jam is dissolved, about 5 minutes. Remove from heat, and stir in lemon juice. Whisk 2 teaspoons water into cornstarch in a small bowl, and stir into hot jam mixture. Let cool to room temperature, about 1 hour. Discard zest.
Preheat oven to 400 degrees. Roll out 1 disk of dough into a 12-inch round on a lightly floured surface. Fit into a 9-inch pie plate, and trim edge of dough to rim. Roll out remaining disk of dough into a 12-inch round. Using a 3/4-inch round cookie cutter (from a cookie cutter set), cut out circles from dough, leaving about 1 inch between each hole and a 3-inch border of solid dough around perimeter. Transfer dough to a parchment-lined baking sheet, and refrigerate, along with dough in pie plate, until firm, about 1 hour.
Pour filling into crust. Place top crust over filling, and trim excess, leaving a 1/2-inch overhang. Fold under bottom crust. Press to seal, and crimp to form a scalloped edge. Beat together egg and remaining teaspoon water, and brush top of pie with egg wash. Bake pie 15 minutes. Reduce oven temperature to 350 degrees, and bake until golden brown and bubbling through holes, 25 to 30 minutes. Let cool completely on a wire rack, about 2 hours.