In a large bowl, mix together the flour, icing sugar, vanilla sugar and ground almonds. Incorporate the egg yolks to the flour mix. Cube the butter into small pieces and cut the butter into the flour mix with two knives. Knead the dough for a bit and shape into a ball. You may need to add a little bit of liquid if the dough is too dry, such as milk or water.
Flatten the ball of dough a bit and wrap it with aluminium foil or cling film. Refrigerate for at least 30 minutes so the dough can rest.
Roll out the dough into a cylinder, and cut it into 4 sections. Roll out each quarter into a cylinder, and cut it into 8 pieces. Roll these pieces into balls.
Place the balls 2 inches apart on non-stick baking sheets. Lightly press the top of each ball and make an indent with your thumb or with the handle of a thick wooden spoon.
Bake in a preheated oven at 350°F for about 11-15 minutes, until they are just starting to take a light golden colour. Do not overcook them, they will still be soft at this stage. Cool for 10 minutes on a wire rack and dust them with icing sugar.
Heat the jam in a small saucepan or microwave until nearly boiling. Carefully fill each cookie indent with jam using a teaspoon. Coolo cookies completely before serving.