To make the bread:
Place slices of bread in a deep dish or glass baking pan.
Combine the milk, cinnamon stick, lemon peel, and pinch of salt in a heavy saucepan over medium heat until it just begins to boil. Remove from heat and set aside to cool. In a separate bowl, beat together the egg yolks and sugar until they are pale yellow and form a ribbon. Whisk in a 1/4 cup of the cooled milk. Gradually whisk the rest of the milk. Return the mixture to the saucepan and heat until slightly thickened so that it just coats the back of the spoon but is still loose, 3-4 minutes. Strain and discard cinnamon, lemon peel and lavender. Blend in the vanilla while still warm.
Pour over the slices of bread and soak for 20-30 minutes, turning the slices over so they absorb as much liquid as possible.
In a heavy skillet or deep fryer, heat 2 inches of oil over medium-high heat to 365 F. Working in batches, use a slotted spoon or spatula to lift the bread slices out of the custard and carefully add to the hot oil. Working in batches, turn until brown on both sides, about 3-4 minutes on each side. Remove and drain on paper towels or cooling rack.
To make the syrup:
Combine all ingredients in a heavy saucepan and bring to a simmer over medium heat. Cook until it reaches the thread stage (225degrees F). Remove from heat, strain and serve.
Combine cinnamon and sugar in a small bowl and sprinkle over the bread while still warm. The syrup can be poured over the torrejas and soaked before serving or on the side, warm or at room temperature.