Place oven rack in the center position. Preheat oven to 350 degrees F (175 degrees C). Spread almonds onto a baking sheet.
Bake in the preheated oven until almonds are lightly toasted, 8 to 10 minutes. Remove from oven and cool.
Pulse almonds with 1/4 cup white sugar in a food processor until finely ground.
Whisk flour, lemon zest, cinnamon, and salt together in a bowl. Beat butter and remaining 1/2 cup white sugar together in a separate bowl until light and fluffy; beat in egg yolks, vanilla extract, ground almond mixture, and flour mixture until just combined. Cover bowl with plastic wrap and refrigerate until firm, 3 to 12 hours.
Preheat oven to 350 degrees F (175 degrees C). Line 2 baking sheets with parchment paper.
Roll dough into a rectangle about 1/4-inch thick on a lightly floured surface; cut into cookies using a 3-inch cookie cutter. Place cookies about 1-inch apart on the prepared baking sheets. Cut the centers out of half the cookies using a smaller cookie cutter.
Bake in the preheated oven until cookies are lightly browned around the edges, about 12 minutes. Cool completely on a wire rack.
Place the cut-out cookies on a baking sheet and lightly dust with confectioners' sugar. Spread a thin layer of jam onto the full cookies. Place the cut-out cookies on top of the full cookies; gently sandwich them together. Spoon more jam into the cut-out area.
