Grind the hazelnuts very finely in a blender or coffee grinder. Set aside.
Put the flour and sugar in a mixing bowl or a food processor. Add the butter and rub in with your fingertips or process until the mixture resembles fine breadcrumbs. Stir in the ground hazelnuts and lemon rind, then mix in the egg yolk and bring the mixture together with your hands to form a firm dough.
Knead lightly then roll out half of the dough on a lightly floured surface until 1 cm (½ inch) thick. Stamp out 5.5 cm (2¼ inch) circles using a fluted round biscuit cutter. Transfer to an ungreased baking sheet. Use a small heart- or star-shaped biscuit cutter to remove 2.5 cm (1 inch) hearts or stars from the middle of half of the biscuits.
Bake the first biscuits in a preheated oven, 160°C (350°F), Gas Mark 3, for about 8 minutes, until pale golden brown, then repeat for the remaining dough.
Leave the biscuits to harden for 1–2 minutes then loosen and transfer to a wire rack to cool.
Divide the jam evenly among the centres of the whole biscuits and spread thickly, leaving a border of biscuit showing. Cover with the hole-cut biscuits, dust with a little sifted icing sugar and leave to cool completely before serving.