Warm the red wine, cinnamon stick, and lemon zest in a 1-quart / 1L saucepan over medium heat until steaming, 3 to 4 minutes. Don't let it boil.
Whisk the egg yolks and sugar in a heatproof mixing bowl until pale and slightly thickened, about 1 to 2 minutes.
Fish out the cinnamon stick and lemon zest from the wine. Pour the warm wine into the yolk mixture in a thin stream, whisking constantly to temper the eggs.
Set the bowl over a 2-quart / 2L saucepan of barely simmering water, making sure the bottom doesn't touch the water. Whisk constantly for 5 to 8 minutes, until the custard is foamy, thick enough to coat the back of a spoon, and reads 71C/160F on an instant-read thermometer.
Pull the bowl off the heat the moment it hits temperature. If it keeps cooking, the yolks will scramble into curds.
Stir in the grappa, if using, off the heat.
Ladle the warm custard into small cups. Dust with ground cinnamon and serve right away with dry biscuits for dunking.