Begin by dyeing 6 raw eggs, allow them to sit at least one hour to achieve a brilliant color then let them dry while preparing dough.
Place warm milk in a medium bowl. Sprinkle yeast into milk and let it sit until frothy, about 5 minutes. After 5 minutes, whisk in the eggs and vanilla. Set aside.
In the bowl of a stand mixer fitted with a dough hook, whisk together flour, sugar, lemon zest and salt. With the mixer on medium speed, slowly drizzle in the milk mixture. Knead until combined then add butter, one cube at a time. After all the butter is added, continue kneading the dough until everything is combined well and a stiff and only slightly sticky dough has formed, adding more flour if necessary.
Turn the dough out onto a lightly floured surface and shape into a ball. Transfer dough ball to a large bowl lightly sprayed with nonstick cooking spray. Cover with plastic wrap and allow it to rise at warm room temperature for 1 1/2 hours until doubled in size.
Punch down the dough then turn it out onto a lightly floured surface. Divide the dough into 3 equal pieces. Roll the dough pieces into 3 logs, about 15-inches long each.
Gather the three strips together at their tops and pinch together then being braiding. Once you reach the end, pinch the bottom strips together and tuck under. Add dyed eggs into the folds of the braid wherever you’d like.
Cover the dough with a linen fowl and let rest for 45 minutes to an hour. Preheat oven to 350°F.
Whisk together remaining egg with 2 teaspoons water and brush egg wash over dough, avoiding eggs. Bake in preheated oven 20-25 minutes, until golden brown.