How to make
Mix the sugar and water for the syrup, leave to boil about 10 min. Next, add the lemon zest, juice and vanilla. Leave the sugar syrup to cool well.
Leave the 2 sheets of puff pastry to relax at room temperature, then cut each into 3, lengthwise. Sprinkle each strip with finely chopped or ground walnuts. Roll up the strips tightly and arrange them in an oiled oven dish.
After you've arranged them, cut them into 3/4″ (2 cm) thick pieces with a sharp knife. Put them to bake in a preheated 430°F (220 °C) oven for about 30 min.
After you take them out, pour the cold syrup over them immediately and leave to sit for at least 1 night before serving.