Preheat the oven to 375 degrees F. Line a cookie sheet with parchment paper or a silicone sheet.
Pulse the granulated sugar and lemon zest in a food processor until fine and fragrant.
Lay 1 of the puff pastry sheets on a lightly floured work surface. Brush the sheet with about half of the butter and sprinkle with half of the lemon-sugar. Lightly press sugar into the pastry with a rolling pin. Place the other pastry sheet on top, brush with the remaining butter and sprinkle with remaining sugar. Carefully roll the pastry out into a 12-inch square, about 1 1/8-inch thick. Trim uneven edges with a pizza cutter or a knife to make a perfect square.
Starting on the closest edge, roll the pastry up into a cylinder but stop at the mid point of the dough. Roll the pastry up on the opposite side so it looks like an old-fashioned scroll. Adjust the rolls so they are even and meet in the center. Wrap tightly in plastic wrap and freeze until firm, 20 minutes.
Slice the roll, crosswise, with a serrated knife into 1/4-inch thick pieces and lay on the prepared baking sheet. Bake until the cookies soften, about 10 minutes. Working quickly and efficiently, remove the cookies from the oven--if they have lost their shape, gently roll them back together. Let cool on the pan for a minute to set. Turn them with a spatula (take care to keep the shape) sprinkle with the yellow sugar and return to the oven. Continue to bake until golden brown, about 15 more minutes. Transfer cookies to a rack, sugary sides up, to cool. Serve.
Store cookies in a tightly sealed container for up to 3 days.
Sanding sugar has a slightly larger crystal and is used to decorate cookies. It can be found both in many supermarkets or specialty stores.