In a large bowl, combine the cream cheese with the lemon zest, lemon juice, capers, and fresh dill. Season with salt and black pepper, to taste, and stir to combine. Set aside.
Chop the ends from the cucumber and thinly slice lengthwise with a mandoline slicer or a vegetable peeler.
Spread one to two teaspoons of the cream cheese mixture along the length of each cucumber slice, adding an extra bit at the far end to help secure once rolled.
Top with small pieces of smoked salmon and tightly roll the cucumber into a roll up. If necessary, use toothpicks to hold each appetizer together.
Repeat with the remaining cucumber slices and filling. Serve immediately and enjoy!