Mix together flour, ground hazelnuts, 3/4 cup confectioners' sugar, lemon zest, and vanilla sugar in a large bowl. Add butter and egg yolk and knead until everything is well combined. Divide dough in 1/2, pat into discs, wrap in plastic wrap, and place in the refrigerator until firm, about 1 hour.

Preheat the oven to 350 degrees F (175 degrees C).

Remove dough from the refrigerator and roll on a lightly floured surface to 1/4-inch thick. Cut out cookies using desired cookie cutter shape. Place on ungreased cookie sheets. On 1/2 of the cookies, remove a "peekaboo" cutout using a smaller cookie cutter.

Bake in the preheated oven just until edges are beginning to turn golden, about 5 minutes. Cool on the baking sheet for 1 minute before removing to a wire rack. Spread jam on the warm whole cookies and top with the cutout cookies.

Let cookies rest until softened a bit, 8 hours to overnight. Dust with remaining confectioners' sugar just before serving.