Special equipment: a plain or fluted 2-inch round cutter
For the shortbread cookies: In a medium bowl, whisk together the cornstarch, flour, baking powder, baking soda and fine salt to combine; set aside.
Put the butter and granulated sugar in a stand mixer with a paddle attachment. Mix on medium speed, scraping down the sides with a rubber spatula as needed, until the ingredients are fully combined and the mixture is light and fluffy, about 3 minutes. Add the brandy, vanilla and egg yolks and mix until just combined, about 30 seconds.
On low speed, gradually add the flour mixture, mixing until the flour is fully incorporated. Mix for about 1 minute.
Divide the dough into 2 equal pieces and place them onto 2 separate pieces of plastic wrap. Shape each piece into a smooth disk and wrap tightly. Refrigerate the dough for at least 1 hour.
Position an oven rack in the middle of the oven and preheat to 350 degrees F. Line 2 baking sheets with parchment.
Unwrap one piece of dough and place it on a lightly floured surface. Roll the dough to about 1/4 inch thick. With a 2-inch round cutter (plain or fluted), cut out about 20 circles and transfer them to the prepared baking sheets. Bake on the middle rack, in 2 batches if necessary, until golden brownish on top, 12 to 14 minutes. Transfer the cookies to a wire rack to cool completely, about 20 minutes. Repeat the rolling, cutting and baking process with the second dough piece, for an additional 20 cookies. Reroll the scraps once, cutting out 12 more circles, and bake.
For the Mexican cajeta: Stir together the milk and sugar in a large, heavy-bottomed pot. Add the vanilla extract, salt and vanilla bean pods and seeds if using. Bring to a boil on medium-high heat while constantly stirring, 6 to 8 minutes.
When the milk comes to a boil, remove from the heat and add the baking soda. The milk will become frothy and rise. Keep stirring the mixture. Put the pot back on the stove over medium heat. Cook at a low simmer, stirring frequently to make sure that the sauce does not stick to bottom of the pan. Adjust the heat as needed to maintain a low simmer. After 15 minutes, the mixture will be light golden brown. Remove the vanilla pods if using and continue cooking until the mixture is a rich brown and reduced to about 1 1/2 cups (it will resemble a thick caramel sauce at this point), about 30 additional minutes. Remove the sauce from the heat and allow it to cool completely, about 20 minutes.
After the cookies and cajeta have cooled, flip half of the cookies upside down and gently spread about 2 teaspoons of the cajeta on each one (if the cajeta is too thick to spread easily after cooling, microwave it briefly to warm it up and loosen it enough to spread). Place another cookie bottom-side down on top of the cajeta on each and press to create a sandwich. Dust the cookies with powdered sugar before serving. Enjoy!
The cajeta will take longer to cook if using regular whole milk instead of goat milk.