Line a couple of baking sheets with baking parchment.
Stir together the flour, ground nuts, cinnamon and salt. Set aside.
In a separate bowl, cream together the butter, sugar, vanilla extract and lemon zest with an electric mixer for 1-2 minutes.
Add the dry ingredients and stir with a spatula until no lumps of butter remain. Add the milk and mix to form a dough. Knead it just briefly, until it is smooth. Do not over-work the dough.
Divide the dough into two discs, wrap them and refrigerate for about 1 hour, until the dough is firm enough to roll out.
Roll one of the discs of dough out on a floured surface to 4mm (⅛ in) thick. Use approximately 6 cm/ 2 ⅓ inch cookie cutters in your choice of shapes to cut out as many cookies as you can. If you are using a selection of different shaped cutters, remember that you need an equal number of each shape to create the sandwiches.
Use a mini cutter or the wide end of a piping nozzle to cut out a shape from the centre of half of the cookies.
Gently transfer the cookies to the lined baking sheets, slightly spaced apart.
Bring together the scraps of dough, roll out again and cut out more cookies. Refrigerate the dough for 15 minutes first if it is too soft to roll.
Place the trays of cookies in the freezer for 15 minutes, or the fridge for 30 while you preheat the oven to 180°C/160°C fan/350°F/gas mark 4.
Bake the chilled cookies for 9-12 minutes until light golden around the edges. Cool on the tray for 5 mins then carefully transfer to a wire rack to cool.
Repeat with the other disc of dough, making sure the baking sheets are cold before you load them with more cookies.
Once all of the cookies are baked and have cooled completely, place the ones with the middle cut out on a wire rack and dust with icing sugar.
Spread a dollop of jam over the other half of the cookies, leaving a border. Don't use too much or it will splurge out the sides, but don't be stingy either. It may be a good idea to assemble a test cookie to judge the right amount of jam.
Pick up one of the sugar dusted cookies, touching the edges only, and place it on top of one of the jam spread ones. Repeat with the rest of the cookies. Store in an airtight container at room temperature.