In a small saucepan, sprinkle gelatin over cold water; let stand 1 minute to soften. Add boiling water, sugar, lemon juice and rind. Then stir over low heat until gelatin is dissolved. Refrigerate until mixture mounds slightly when dropped from a spoon, about 1 hour.
In large bowl of an electric mixer, beat egg whites until stiff. Add gelatin mixture and beat until light and fluffy. Pour into 12 dessert dishes (or a large serving bowl); chill until firm, 3 to 4 hours.
To prepare sauce, whisk milk, yolks and sugar in heavy medium saucepan to blend. Scrape in seeds from vanilla bean; add bean (or add vanilla). Stir over medium heat until sauce leaves path on back of spoon when finger is drawn across, about 5-10 minutes. It should register 180F on an instant-reading thermometer;do not boil. Strain into medium bowl; discard vanilla bean. Let sauce cool, then chill.
Alternatively, in the top of a double boiler, add milk, yolks and sugar. Whisk until the ingredients are thoroughly blended. Scrape in seeds from vanilla bean; add bean (or add vanilla). Cook over simmering water, stirring frequently with a wooden spoon, until the custard is thick enough to coat back of spoon heavily, 10 to 15 minutes.