This recipe was inspired by the curried goat at Gloria's Roti Shop in Brooklyn. Caribbean roti is a kind of burrito, and nobody's surpasses Gloria's.
In a large skillet, heat the canola oil. Add the lamb and cook over high heat, stirring occasionally, until no trace of pink remains, about 7 minutes. Using a slotted spoon, transfer the meat to a plate. Add the onion and garlic to the skillet and cook, stirring, until softened but not browned, 2 to 3 minutes.
Return the meat to the skillet and add the curry powder. Cook, stirring, until fragrant, about 2 minutes. Add the coconut milk and chicken broth and bring to a boil. Add the sweet potato, tomatoes, star anise, bay leaf, the 1 teaspoon of habanero sauce and a generous pinch each of salt, pepper and sugar. Simmer over moderately low heat until the sweet potato is tender and the liquid is absorbed, about 20 minutes. Transfer the filling to a bowl and let cool. Discard the star anise and bay leaf. Stir in the feta.
Lightly brush both sides of 1 yufka triangle with water. Set it on a work surface with the pointed end away from you. Keep the remaining pastry covered with plastic wrap. Spread 1 tablespoon of the filling along the bottom edge of the triangle. Roll the pastry up from the bottom, folding in the sides as you go. Transfer to a platter, seam side down. Repeat with the remaining yufka and filling.
Heat 2 inches of vegetable oil in a large deep skillet. Fry the cigars in batches, 6 at a time, turning, until golden and crisp, about 3 minutes. Drain on a rack set over a baking sheet. Serve immediately with habanero sauce.:
Make Ahead: The uncooked cigars can be frozen in an airtight container between layers of wax paper for several weeks. Don't defrost before frying.
Notes: Yufka is rolled slightly thicker than phyllo; often fried to make the Turkish savory pastries called sigara borek. It is available at Middle Eastern grocery stores and by mail from Adriana's Caravan (800-316-0820). Asian spring roll wrappers (not egg roll wrappers) are the best substitute.