A couple of days before making the cookies, mix the confectioners' sugar with the vanilla bean in a small bowl with a tight lid. This is your vanilla sugar. Store in a dry place.
In a mixer fitted with the paddle, beat the lard with the granulated sugar until creamy. Beat in the egg, egg yolks, lemon juice and lemon zest. Add the walnuts and flour and beat until a uniform dough forms. Cover the dough and refrigerate for at least 3 hours or overnight.
Preheat the oven to 325° F convection bake (or 350° regular bake). Place the dough on a work surface dusted with flour and roll it out to a 1/4-inch-thick round. Line two baking sheets with parchment paper. Using a small round cookie cutter (I use 1-inch or quarter-size cutters), stamp out the cookies and arrange them one inch apart on the baking sheets.
Bake for about 12 minutes, so that the rounds remain white. Let the cookies cool on the baking sheets for 5 minutes, and then transfer to a wire rack or flat surface to cool completely.
Once the cookies are cool, take one cookie round at a time, spread the jam on it, and top with another cookie round.
Roll each cookie sandwich generously in the vanilla sugar. Put the cookies into a tin box, and wait for one to two days before serving.