In a medium sized saucepan combine the milk, limoncello, heavy cream, sugar, cornstarch, vanilla, egg yolks and lemon peel.
Whisk all the ingredients together until smooth. Turn the flame onto medium low and whisk continuously until the mixture begins to thicken, about 15 minutes.
Once the cream can coat the back of a spoon remove from heat. Strain any lumps if necessary and press plastic wrap directly into the cream to prevent a skin from forming.
Cool to room temperature before using.
To assemble:
Lightly dip the cookies in the milk and line the bottom of an 11x7 inch pan with the cookies. You will need about 12 cookies per layer.
Spread about 1/3 of the cream over the cookies.
Repeat 2 more times and refrigerate for at least 4 hours or overnight.