Soak the gelatin: Place gelatin sheets in cold water for 7 minutes. If using powdered gelatin, mix it with 4–5 tbsp water to bloom.
In a small saucepan, add milk, cinnamon, lemon zest, and a pinch of salt. Heat gently until it just comes to a simmer.
Remove saucepan from heat, stir in liqueur if using, and let sit briefly.
Once the milk cools slightly (but is still hot), remove zest and cinnamon.
Stir in the gelatin until completely dissolved. Do not boil - gelatin loses its setting power above ~70°C.
Allow the milk to cool further to body temperature before stirring in the yogurt. If it's too hot, the yogurt may curdle.
Lightly grease molds with neutral oil and pour in the panna cotta mixture. Refrigerate for 5–6 hours until set.