Mix the flour, sugar and cinnamon together in a bowl, and cut in the shortening until the mixture is fine.
Add beaten eggs, reserving 2 tablespoons, and blend into flour and shortening, then add just enough water to make a smooth ball of dough.
Knead for 1 minute, then chill until ready to use.
Roll dough into a fairly thin sheet, and cut into 3" x 5" squares.
Roll the squares around the metal tubes and seal the edges with beaten egg.
Heat the oil to 375°F./190°C and cook rolls until golden brown all over.
Drain on paper towels and cool, then remove the metal tubes.
Combine cheese, sugar, vanilla and lemon rind together, and fill rolls with this mixture.
Place on a platter, sprinkle with a little icing sugar and serve.