Sprinkle gelatin over water; let stand until dissolved, about 1 minute.

Place heavy cream, milk, sugar, lemon zest, and vanilla bean in a saucepan over medium heat; cook, stirring constantly, until mixture is simmering. Simmer gently, about 5 minutes. Remove from heat and discard vanilla bean.

Stir gelatin mixture into the hot cream mixture until dissolved. Stir in strawberry jam. Pour into small dessert cups, cover with plastic wrap, and refrigerate until set, 8 hours to overnight.