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1
Make the dough: in a bowl, whisk the flour, baking powder, and salt together; set aside.
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2
In the bowl of an electric mixer, using the paddle attachment, beat the butter and sugar together on med-high speed until well combined, about 1 minute.
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3
Beat in the egg yolk and citrus zest.
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4
On low speed, add the flour mixture and mix just until blended.
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5
Scrape the dough onto a work surface and gather it up into a disk; wrap the disk in plastic wrap and refrigerate for at least 2 hours, until firm.
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6
Cut and bake the cookies: position two racks near the center of the oven; preheat oven to 350; line two baking sheets with parchment paper or foil.
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7
Place the chilled dough on a lightly floured work surface and sprinkle it lightly with flour.
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8
Using a rolling pin, roll the dough out to a thickness of 1/8 inch.
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9
Using a 1 1/2 inch scalloped cookie cutter, cut out as many cookies as possible from the dough.
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10
With a 1/2-inch round cookie cutter, cut out the centers of half of the cookies (these will be the tops).
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11
Stack and press together the scraps and chill for 15 minutes before rerolling.
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12
Carefully transfer the cookies to the prepared baking sheets, spacing them 1/2 inch apart and placing the tops and bottoms on separate sheets (the tops will take a minute or so less to bake than the bottoms).
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13
Sprinkle the cookies with coarse sugar; bake cookies, two sheets at a time, for 9-11 minutes, or until lightly browned on the bottom (not on top).
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14
Transfer cookies to wire racks and cool completely.
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15
Make the filling: in a small saucepan, bring the orange and lemon juices to a boil over high heat; boil for 3-5 minutes, until reduced to about 1 tablespoon; let cool completely.
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16
In the bowl of an electric mixer, using the paddle attachment, beat the butter, powdered sugar, cream, salt, and cooled citrus juices on medium speed until smooth.
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17
Assemble cookies: Spread about 1 teaspoon of filling onto the bottom of bone of the whole cookies.
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18
Top with one of the cut-out cookies, right side up, and press the cookies lightly together.
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19
Repeat with the remaining cookies and filling.
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20
Serve cookies at room temperature or chilled.