Preheat oven to 170 degrees C. Line 2 baking trays with baking paper.
Place the butter, sugar, vanilla essence and lemon zest in a food processor and blend until nice and smooth.
Add the egg, egg yolk and flour to the processor and mix again until the mixture looks like breadcrumbs.
Empty the dough out onto a lightly floured surface and gently knead until the dough is nice and smooth. Flatten the dough into a circle and then wrap the dough in cling film and place in the fridge for 45 minutes.
On a lightly floured surface roll the dough out to about 3mm thick and using a cutter cut out as many biscuits as you can. And then using a smaller cutter, cut out the middle on half of the biscuits and then place these on the 2 baking trays, leave some room between the biscuits as they will expand in the oven.
Bake in the oven for about 10-12 minutes or until they are golden brown and then leave them to cool on the baking tray for 2 minutes before putting them on a wire rack to cool.
Once the biscuits are cool, spread the bottom biscuit with jam and sprinkle icing sugar over the top biscuit. Then press the two biscuits together.