Thaw phyllo pastry sheets per packaged instructions.
Preheat oven to 325°F.
In a medium saucepan add water, granulated sugar, and vanilla sugar. Over medium heat, bring to a boil. Once it begins to boil, lower temperature and let it simmer for 10 minutes. Remove from heat and set aside to cool completely. *Do not add lemon zest until just before pouring over baked Baklava.
Place one phyllo sheet on a flat working surface and lightly brush with melted butter. Add another phyllo sheet on top and brush lightly with melted butter.
Sprinkle about 3 tablespoons of bread crumbs over the second buttered phyllo pastry sheet.
Place the wooden skewer on the shorter end of the pastry sheet and roll once, just enough to cover the wooden skewer.
Along the edge of the rolled wooden skewer, add 3-4 tablespoons of crushed walnuts.
Finish rolling the two phyllo pastry sheets all the way. Once rolled, scrunch the baklava roll tightly and remove the wooden skewer from the inside.
Transfer the rolled pastry sheets into a lightly greased baking pan.
Repeat process until you have used up all phyllo pastry sheets.
Cut vertically down the baking pan into equal sections.
Brush the remaining of the melted butter over the top of the baklava rolls.
Transfer into a preheated oven and bake for 1 hour. The rolled Baklava should be golden brown.
Remove from oven and immediately pour cooled sugar syrup with lemon zest over the hot Baklava. It will sizzle.
Allow rolled Baklava to sit in baking dish uncovered at room temperature for at least 6 hours. This will allow Baklava to soak up all of the sugar syrup and settle in all of the flavor.