Combine the warm water with the yeast and 2 teaspoons of sugar. Mix it together and let sit for about 10 minutes.
In the bowl of a stand mixer, combine 4 cups of flour, sugar, salt, nutmeg, lemon zest, milk, melted butter, egg yolks, and yeast mixture.
Using the dough hook, knead until the dough pulls away from the sides of the mixer. If the dough is very wet, you can add up to one more cup flour. Knead for 5 minutes.
Turn the dough out into bowl that has been coated with cooking spray. Turn the dough in the cooking spray and cover with plastic wrap. Let the dough rise until it has doubled, about 1 1/2 hours.
Mix together the cream cheese, confectioners sugar, flour, vanilla, and lemon juice. Set aside.
Roll the dough into a rectangle about 30 inches long. Spread the cream cheese mixture evenly on the dough.
Roll the dough into a cylinder.
Line a baking sheet with parchment paper. Put a mason jar in the middle and wrap the dough around the jar. Tuck the ends together to form a ring. Cover with a towel and let rise for another 45 minutes.
Bake in a preheated 350 degree oven for about 30 minutes or until golden brown. Take the mason jar out and let cool.
Make the icing by whisking the confectioners sugar, lemon juice, and vanilla.
Hello baby! Press the plastic baby into the cake. Please be smarter than me. Press it underneath the king cake, not on the top.
Cover the King Cake with the icing and sprinkle the cake with sugars alternating the colors.