Mix the yeast with the warm water and let it sit for 5 minutes. Stir in the zest, juice, sugar, salt, egg, butter, and 1 cup of the flour. Mix together until a lumpy batter is formed.
Slowly stir in the remaining flour until a soft, pliable dough is formed. Don’t worry if it’s sticky. Cover and let it rest for 15 minutes. After it’s rested, turn the dough out into a floured surface and knead for 5 minutes or until it’s smooth. Place the dough in a lightly greased bowl, cover, and let it rise until it’s doubled in size, about an hour and a half.
Grease two 9-inch round pans, two cast-iron skillets, as I sometimes use. (You can also use a 9×13 baking pan.) On a floured surface, roll out the risen dough into a large rectangle, about 14×9 inches, with the long side facing you. For the filling, mix together the sugar, cinnamon, and zest. Spread the butter on the dough right up to the edges, and then evenly sprinkle the cinnamon mixture and pecans over the butter.
Starting on one of the long sides, roll up the dough to the end and then pinch the ends to seal. Cut off 1-inch slices from the rolled dough, and then place sliced the rolls in the greased baking dishes. Cover and let them rise for an hour. About 15 minutes before they’re done with the second rise, preheat the oven to 375 °F.
Bake the rolls uncovered until the tops are golden brown, about 15 minutes. While the rolls are baking, make the frosting by creaming together the cream cheese, butter, and powdered sugar until smooth. Stir in the juice, zest, vanilla and salt. Spread the frosting onto the rolls while they are still warm.
Serve immediately. You can store them covered and refrigerated for a few days, though they are best eaten the day they are baked.