Place the sweetbreads in a bowl, cover with cold water and refrigerate for 4 hours, changing the water 2 or 3 times. Drain.
In a bowl, combine all the sauce ingredients. Season with salt and pepper.
Keep in the refrigerator.
In a saucepan, place the sweetbreads and cover with salted water. Bring to a boil. Reduce the heat and simmer for 4 to 5 minutes. Remove from the heat, rinse under cold running water and drain well.
With your fingers, remove the membrane off the sweetbreads and break into 2-cm (3/4-inch) in diameter small bites.
Preheat the oil in the deep fryer to 190 °C (375 °F). With the rack in the middle position, preheat the oven to 120 °C (250 °F).
In a bowl, combine the all-purpose flour and lemon zest. Season with salt and pepper.
In another bowl, lightly beat the eggs.
In a third bowl, combine the cornmeal and parsley. Season with salt. Dredge the veal sweetbread pieces in the flour, dip in the eggs and finally in the cornmeal. Fry for 5 minutes, half at a time. Drain on paper towels and keep warm after they are cooked.
Serve warm with the sauce.
There are several textures of cornmeal on the market. They vary from fine to coarse. For this recipe, it is best to choose fine flour, with a grain texture similar to that of salt.
Recipes with the "Healthy Pick" stamp have been evaluated by a registered dietitian member of the Ordre professionnel des diététistes du Québec.