For the syrup, combine water, sugar, vanilla sugar, lemon juice, lemon slices, and cinnamon in a saucepan. Cook over medium heat for 10-15 minutes.
Preheat the oven to 400°F (no fan).
Check walnuts for shells, then grind them. Mix thoroughly with baking powder.
In a mixing bowl, whisk eggs and sugar until frothy (about 3 minutes). Once the mixture has increased in volume and is frothy, mix in oil and yogurt briefly.
Gently fold in the ground walnuts in 2-3 additions using a spatula. Combine gently but thoroughly.
Lightly grease a deep baking dish with oil or butter and layer two sheets of phyllo at the bottom. Spread a layer of the nut mixture, then a phyllo sheet, and repeat until all the nut mixture is used.
Top with two more phyllo sheets; the final sheet is added after cutting the baklava into diamond shapes.
Bake at 400°F for 20 minutes, then reduce to 350°F and bake for another 15-20 minutes.
Immediately pour the cooled syrup over the hot baklava after removing it from the oven. Use a ladle to ensure even distribution.
Allow the baklava to sit at room temperature for a few hours to let the flavors meld together. Enjoy!