In a large mixing bowl, combine the flour and salt. Create a well in the center and add the melted butter, warm water, vegetable oil, and egg.
Mix until the dough comes together. Knead the dough on a floured surface for about 5-7 minutes until it is smooth and elastic.
Cover the dough with a damp cloth and let it rest for 30 minutes.
In a medium bowl, combine the finely chopped walnuts, sugar, and ground cinnamon. Mix well and set aside.
Divide the dough into 2 equal parts. On a floured surface, roll out one portion of the dough as thinly as possible, aiming for a large rectangle.
Preheat the oven to 350°F (175°C).
Brush a baking dish with melted butter. Place the rolled-out dough into the dish and brush with melted butter.
Spread half of the walnut filling evenly over the dough.
Roll out the second portion of dough and place it over the filling. Brush with more melted butter and spread the remaining walnut filling on top.
Roll out another piece of dough and place it over the filling. Brush with butter.
Using a sharp knife, cut the baklava into diamond or square shapes.
Bake in the preheated oven for 45-50 minutes, or until the baklava is golden brown and crisp.
While the baklava is baking, prepare the syrup. In a saucepan, combine the sugar, water, and lemon juice. Bring to a boil, then reduce heat and simmer for about 10 minutes.
Remove from heat and stir in the vanilla extract. Let the syrup cool.
Once the baklava is finished baking, remove it from the oven and immediately pour the cooled syrup over the hot baklava.
Allow the baklava to cool completely and absorb the syrup before serving.
Enjoy your meal!