Preheat the oven to 350 degrees F. Line a sheet tray with parchment paper or silicone mat.
Start by making the marmalade. Combine the sugar and 1/2 cup water in a heavy-bottomed saucepan and bring to a boil over medium-high heat. Add the cranberries and thyme sprigs and continue simmering until the cranberries have softened, about 10 minutes. Remove from the heat and remove the thyme sprigs. Stir in the orange marmalade and add the orange liqueur. Return to the heat and bring to a simmer for 5 minutes. Remove from the heat and let the marmalade cool.
Meanwhile, make the cookie dough. In a large mixing bowl or a stand mixer, cream together the butter, Parmesan, pepper and egg yolks. Mix in the flour slowly until a soft dough forms and pulls away from the sides of the bowl.
Using a 2-ounce cookie scoop, portion the dough evenly onto the prepared sheet tray. Use your thumb or something similar in size (like a teaspoon measure) to make a well in the center of each cookie. Fill the hole with 1/2 teaspoon of the marmalade.
Bake until the cookies begin to turn golden brown, 20 to 22 minute. Remove from the sheet tray to cool on wire rack.