In a food processor, place hazelnuts and process for a few seconds just until nuts are finely ground. Add flour, sugar, and salt and process for a few seconds more, just 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 milk or water, a little bit at a time. A good 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.
Turn the dough to a floured surface and form into a disc. Wrap with plastic wrap. Refrigerate for at least 1 hour until firm and easy to handle (or up to 3 days).
Preheat oven to 350°F/180°C. Line pans with parchment paper and set aside.
Roll out dough on a floured surface until it’s about 1/8 to 1/4 inch thick (for sandwich cookies I prefer thin cookies). Cut rounds of dough using a 2 inch (5 cm) cookie cutter. Transfer cookies gently using a thin spatula to the prepared baking sheets, placing them 1 inch apart. Reroll leftover dough and cut out more rounds.
Bake for 10-12 minutes or until cookies are slightly golden just at the edges (they should still be light rather than golden at the center). Let cool in the pan for 10-15 minutes, then transfer to a cooling rack to cool completely.
If desired, sift powdered sugar on top of half of the cookies. Put about 1/2 teaspoon of Nutella in the center of the rest of the cookies, then place the cookies with the powdered sugar on top, and press gently.
Store cookies at room temperature in an airtight container for up to 2 days or in the refrigerator for up to a week.