Special equipment: 2-inch and 3/4-inch round cookie cutters
Add the nuts to the bowl of a food processor fitted with a blade and pulse until finely ground (it should be powdery and not a paste), about 15 pulses. Set aside. Whisk together the flour, cinnamon, baking powder and salt in a large bowl until evenly combined. Set aside.
Put the butter and both sugars in the bowl of a stand mixer fitted with a paddle attachment and mix on medium speed until creamy and light, 2 to 3 minutes. Turn off the mixer, scrape down the sides of the bowl and add the vanilla and egg yolk. Mix until well incorporated.
Mix in the orange zest, ground pecan powder and the flour mixture until just incorporated. Divide the dough into two even pieces, pat each into a thin disk, enclose in plastic wrap and let rest in the refrigerator at least 1 hour and up to 12 hours.
When ready to bake, preheat the oven to 350 degrees F and arrange the racks in the upper and lower third of the oven. Line baking sheets with parchment paper. Remove the dough from the refrigerator and let sit at room temperature until pliable enough to roll. Roll out half of the dough on a piece of lightly floured parchment or waxed paper to 1/4-inch thickness. Using a 2-inch round cookie or biscuit cutter, cut out rounds of dough. Using a 3/4-inch round cookie cutter, cut out the center of half of the rounds to make rings. Transfer the rounds and rings to the freezer to set up for 5 minutes before continuing. Gather the dough scraps and chill.
Transfer the chilled cookies to the prepared baking sheets, leaving at least 1 inch between each cookie. Bake two sheets of cookies at a time until the undersides are golden, rotating the sheets halfway through, 12 to 15 minutes total. Cool 5 minutes on the sheets, and then remove to a wire rack to cool completely.
Repeat until all the dough is used. To assemble the cookies, spread 1/2 teaspoon jam on the bottom side of each solid round cookie, and then top with a ring-shaped cookie.