Process flour, sugar, and salt in a food processor for a few seconds until combined. Add butter and pulse several times until mixture becomes crumbly and resembles coarse meal. Add egg yolk and vanilla, and keep pulsing until dough starts to clump together. The dough should be crumbly with large clumps. If dough is too dry, add a bit of water. Another way to check if the dough is done is to take a piece of dough and press it between your thumbs – the dough should stick well together without feeling dry. Avoid overworking the dough throughout the process.
Put about 1/2 teaspoon of jam in the center of the whole cookies, then place the cookies with the holes on top, and press gently.
*Powdered sugar can be replaced with 1/2 cup granulated sugar. Cookies with powdered sugar will have a more tender, melt-in-you-mouth texture.