In a medium heat-safe bowl or top of a double boiler, whisk together egg yolks, sugar, Marsala, lemon zest, cinnamon, and vanilla. Place over pan or bottom of double boiler filled with boiling water. Beat continuously until frothy.
Place directly over low heat and continue beating until thickened. Remove from heat and let cool.
In a medium bowl, beat heavy cream until thick with stiff peaks. Fold into the cooled egg wine mixture. Pour into serving glasses and refrigerate until chilled.