Preheat the oven to 350 degrees F. Line baking sheets with parchment paper.
Roast the pecans on a baking sheet until fragrant and toasted, 7 to 9 minutes. Set aside to cool, and then pour into a shallow dish. Mix together the jam and cayenne in a small bowl until the cayenne is evenly distributed.
Cream together the sugar and butter in a large bowl, using an electric mixer on medium-high speed, until light and fluffy, 2 minutes. Beat in the egg yolks, vanilla and salt until combined. Reduce the speed to low and beat in the flour until just combined. Shape the dough into 1-inch balls (about 2 teaspoons dough per ball).
Lightly beat the egg whites in a small bowl. Brush or roll the dough balls in the beaten egg whites and then roll each ball in the chopped pecans. Place the balls 2 to 3 inches apart on the baking sheets. Press an indentation into the center of each ball using a thick straw, chopstick or the end of a wooden spoon, and then fill the hole with a small amount of filling, about 1/2 teaspoon. Bake until the edges turn golden, 15 to 17 minutes. Cool completely on the sheets on a wire rack.