Preheat oven to a moderate heat (180C). Grease then line a baking sheet with baking paper.
Sift flour into a large bowl. Rub in butter, constantly shake the bowl to force large lumps of butter to rise to the surface. Continue until all butter is rubbed in. Stir in sugar.
In another bowl, whisk together milk, lemon rind, vanilla essence and egg. Create a well in the centre of the dry ingredients and pour in the wet ingredients.
Mix until dough just comes together. Place dough on a floured surface and knead until smooth, soft and pliable.
Shape into a ball and flatten with hand. Roll out to a 1 1/2 cm thickness then cut 5cm rounds. Place rounds on baking sheet evenly spread apart and bake for 15-20 minutes or until light and golden.
Meanwhile make your jam mixture. Combine the jam, lemon juice, almond essence and water in a small saucepan. Cook over a low heat until the jam has melted, stirring constantly.
Remove biscuits from oven, immediately separate from baking sheet onto a wire rack to cool completely.
These biscuits need to be at least at room temperature for the filling to stay inside.
Once cooled, cut each biscuit in half with a serrated knife to create two circles. Brush inner sides with jam mixture, then either pipe or spread whipped cream on one side and join two halves together.