Add the rice, milk, sugar, vanilla sugar, and lemon zest to a saucepan over medium heat, stirring continuously until the mixture thickens, about 40 minutes.
For each package, use 3 sheets of filo dough, brushed with butter and layered one on top of the other.
Put four tablespoons of pudding on one edge, fold the bottom over the pudding, tuck in the sides to seal the pudding, and carefully fold the dough to form a package.
Transfer to a baking tray lined with parchment paper, brush the surface with melted butter, and bake for 30 minutes at 180°C.
