Preheat the oven to 350 degrees F/180 degrees C/ Gas mark 4.
Sift the flour into a large bowl or electric food mixer and add the sugar, butter, finely grated lemon zest, egg yolks, and vanilla extract. Mix until it all comes together to a dough. Remove
from the bowl and flatten to a round with the palm of your hand or with a rolling pin to about 3/4-inch/2 cm thick and chill in refrigerator for about 30 minutes.
Roll the dough out on a lightly floured work surface until it is about 1/4-inch/5 mm thick, then, using the 2 1/2-inches/6 cm plain cutter, cut the dough into disks.
Take 1/2 the disks and, using either the plain or flower shaped 1 1/4-inches/3 cm cutter, cut holes out of the centre of each, like little round windows. Bring the discarded scraps together and make more disks and cut holes in the centre of these. You want to end up with about 35 whole disks and about 35 disks with the centres cut out (equal amounts).
Place the disks on several baking trays and bake in the oven for 8 to 10 minutes until pale golden and ever so slightly firm.
Allow to stand for a couple minutes, then remove the cookies from the trays and transfer to wire racks to cool.
When the disks are cool, spread 1/2 to 1 teaspoon jam on the whole disks and top with the disks with the hole in them so that you can see the jam through the little windows. Dust with icing sugar (confectioners') and serve.