In a small saucepan, combine sugar and cornstarch; gradually stir in water until smooth. Bring to a boil; cook and stir for 1 minute or until thickened. Remove from the heat. Stir a small amount of hot filling into egg yolks; return all to the pan, stirring constantly. Bring to a gentle boil; cook and stir for 1 minute. Remove from the heat; stir in butter and lemon peel. Gently stir in lemon juice. Refrigerate until cool.
In a bowl, combine flour and nuts. Cut in butter until mixture resembles coarse crumbs. Press onto the bottom of a greased 13-in. x 9-in. baking dish. Bake at 350° for 15-20 minutes or until edges are golden brown. Cool on a wire rack.
In a bowl, beat cream cheese and confectioners' sugar until smooth; carefully spread over crust. Spread with cooled lemon mixture. In another bowl, beat milk and pudding mixes on low for 2 minutes; beat in vanilla. Fold in half of the whipped topping. Spread over lemon layer. Spread with remaining whipped topping. Chill for at least 4 hours before cutting.