Yield: makes 18 cookie sandwiches
Preheat oven to 350 degrees F. Bake hazelnuts for 10-12 minutes until skin begins to separate from hazelnut. Rub the warm hazelnuts in a clean dish towel to remove as much of the skins as possible. Let hazelnuts cool to room temperature.
Place cooled hazelnuts in a food processor fitted with a blade attachment. Pulse until nuts are roughly ground. Set aside.
In the bowl of a stand mixer fitted with a paddle attachment, cream together butter, sugar, and orange zest until smooth, about 2 minutes. Scrape down bowl as needed to ensure thorough mixing. Add yolk and vanilla. Mix until combined.
In a separate bowl, whisk together flour, salt, and ground hazelnuts. Add dry mixture to creamed butter. Mix until there are no longer any dry streaks of flour. Scrape bowl bowl as needed.
Divide dough into two equal portions. Wrap in plastic wrap and let chill in the fridge for at least on hour (up to overnight).
Roll dough out on a lightly floured work surface to a thickness of 1/4-inch. Stamp out rounds using a 2 1/2-inch fluted round cutter. Gather dough scrapes and press together to roll out additional cookies.
Place rounds on a parchment lined baking sheet, spacing them about 1-inch apart. Use a small 1/2-inch round cutter to punch out center hole in half of the cookie rounds. Let cookie rounds chill in the fridge for 30 minutes while oven preheats.
Preheat oven to 350 degrees F. Bake cookies for 12-14 minutes, rotating pans midway through baking. Bake until edges of cookies are set. Let cookies cool in pan for 5-8 minutes before unmolding and transferring to wire rack to cool to room temperature.
To assemble: Dust sifted confectioners' sugar over cookies with center hole cutouts. Turn remaining cookies flat side up and spread about 1 teaspoon of jam into the center. Top with sugar dusted cookie.