In a sauce pot, dissolve the corn starch with 1/2 cup of the milk. Add the rest of the milk, eggs, sugar, lemon peel, cinnamon stick, and salt. Whisk to combine.
Heat the mixture over medium heat, stirring constantly to prevent the mixture from curdling.
Cook for 10-15 minutes, until the mixture thickens, and until you can draw a line across the back of your wooden spoon.
Turn the heat off, then remove lemon peel and cinnamon stick. Whisk in the vanilla extract.
Pour the mixture into 4 equal sizes ramekins. Cover with plastic wrap and refrigerate for a minimum of 4 hours.
To serve, remove the plastic wrap and sprinkle the surface of the natillas with ground cinnamon.
You can also pour the mixture into a single container, and scoop servings into small desserts cups after cooling.