Combine the flour, sugar, and salt in a large bowl and stir it all together. Chop the cold butter into pieces and add it to the bowl. Mix the dough with your hands until well combined. The texture will be sand-like at this point.
Add the egg yolks and water to a small bowl and whisk together with a fork.
Pour the water and egg into the dry ingredients + butter mixture and stir everything together with the fork until the dough forms. If the mixture stays too crumbly, add a touch more water to help it come together.
Cover the bowl with plastic wrap or a silicone bowl cover and chill the dough in the refrigerator for at least an hour.
When you are ready to bake the cookies, preheat the oven to 350°F.
Roll out the dough about a 1/5 of an inch or half a centimeter thick. Then cut out the cookies. In half the cookies, cut out a hole in the center to make the top. Try not to work the dough too much when you re-roll it.
Bake for 10-12 minutes, or until they just start to turn golden.
Let the cookies cool before assembling. Separate the bottoms and the tops. Spread a bit of jam (about half a teaspoon) on the bottom halves, and sprinkle a little powdered sugar on the tops. Then press them together like little sandwiches.