Beat cream cheese and sugar until light and fluffy. Stir in flour egg yolk, lemon peel and lemon juice. Roll dough into 15-inch square on lightly floured surface. Cut into 25 three inch squares place on greased cookie sheets. Spoon about 1 tablespoon cream cheese mixture into center of each square. Bring 2 diagonally opposite corners to center of each square, overlapping slightly; pinch. Let rise until double, about 40 minutes.

Heat oven to 375 deg. Bake until golden brown, 12-15 minutes. Heat jam until melted; brush lightly over hot rolls and sprinkle with chopped nuts. 25 rolls.

Sweet Roll Dough:

Dissolve yeast in warm water in large bowl. Stir in milk, sugar, shortening, salt, egg, and 2 cups of the flour. Beat until smooth. Mix in enough remaining flour to make dough easy to handle.

Turn dough onto lightly floured surface, knead until smooth and elastic, about 5 minutes. Place in greased bowl; turn greased side up. Cover; let rise until double, about 1 1/2 hours. (Dough is ready if an indentation remains when touched.)

Punch down dough, shape, let rise and bake as desired.