Preheat oven to 200 C / Gas 6. Line a baking tray with greaseproof paper.
Beat eggs with sugar until mixture is doubled or even tripled in size. Gradually fold in the flour. Spread on prepared baking tray and bake in preheated oven till golden, about 10 minutes.
Remove from oven, peel of paper and unmould pastry on damp cloth. Gently roll up the pastry and let cool. Once cool, unroll and spread with Nutella® then roll back up and sprinkle with icing sugar. Refrigerate.
Pour milk into a medium saucepan and bring to the boil. Meanwhile, beat egg yolks with sugar in a medium bowl; gradually to the boiling milk. Reduce heat to low and let thicken, stirring constantly. Remove from heat, stir in lemon juice and zest and let cool till firm enough to spread.
Cut the pastry log into several pieces, one for each wagon. Spread with custard and add decorations for the wheels, smokestack etc. Refrigerate until serving.