King cake season is from January 6th (the Catholic holiday called the Epiphany or Three Kings Day) and goes until the start of lent. This festive sweet bread traditionally has a plastic baby baked inside. The legend changes depending on who you ask, but some versions are: whoever finds the baby has to buy the next king cake; host the next party; has good luck. Either way, you'll be lucky to eat this traditional Cajun sweet bread!
In large bowl, dissolve yeast and white sugar in warm milk. Let stand until creamy, ~10 minutes.
Temper egg yolks into the melted butter. Stir egg/butter mixture into the milk mixture. Add lemon zest.
In separate bowl, combine the flour, salt, and nutmeg.
With dough hook, add the flour mixture to the milk/egg mixture 1 cup at a time. When the dough has pulled together, knead with mixer until difficult. Turn it out onto lightly floured surface and knead until smooth. Place dough in lightly oiled bowl, turn to coat. Cover with plastic wrap and let rise in warm place until doubled ~2 hrs.
Fillings: combine cream cheese and 1/2 cup confectioners' sugar. Mix well. Mix butter, pecans, and brown sugar
Turn dough onto floured surface. Roll dough out into a 12"x40" rectangle. Cut dough into three, long, even strips. Spread cream cheese filling across center of dough. Top with pecan mixture. Fold dough in half lengthwise sealing in filling.
Carefully, braid dough into a wreath. (It's ok if some of the filling oozes out). Press the "baby" into dough from bottom.
Cover with non-stick-sprayed plastic wrap and place in a warm area to rise until doubled in size, ~45 minutes.
Preheat oven to 350F.
Bake in preheated oven until golden brown, ~30 minutes.
Allow the bread to cool to the touch.
Glaze: combine the remaining 2 cups powdered sugar, lemon juice and 2T milk. Mix well. Divide frosting into 3 batches, tinting 1 green, 1 yellow, and combining red and blue food coloring for purple frosting.
Colored sugars: Into zip-top bag, add 1/2 cup white sugar and 1 drop green food coloring. Mix vigorously
Repeat for yellow and purple (1 drop red + 1 drop blue).