Reheat the whipping cream and add the lemon zests. Let it infuse for 15 minutes.
Soak the gelatin in cold water for 15 minutes.
Mix the egg yolk and sugar. Add the warm infused cream.
Preapre a "crème anglaise": pour the mixture back into the saucepan and simmer over low heat. It should thicken slightly and coat the back of a spoon*. The temperature should not exceed 84°C.
Strain the crème anglaise.
Wring gently the gelatin and dissolve it in the crème anglaise.
Pour into the bowl of the stand mixer, cover with a cling wrap directly on the surface and leave to cool in the refrigerator for 1 hour.
Once the crème anglaise properly cool but not completely set, add the mascarpone and whip like a chantilly. If by mistake you let the cream set, you can leave it at room temperature for 30 minutes before adding the mascarpone.