Make the dough: Pulse the flour, sugar and salt in a food processor. Add the butter and pulse until it looks like coarse meal. Whisk the yolks, vanilla and lemon zest and juice, then add to the food processor and pulse until the dough holds together when pinched (stop before it gathers into a ball). Turn out onto a sheet of plastic wrap and knead into a disk. Wrap and refrigerate until firm, at least 1 hour.
Meanwhile, make the filling: Pulse the almonds in a clean food processor until coarsely chopped; transfer to a saucepan. Pulse the figs in the food processor until finely chopped and add to the saucepan along with the orange zest, wine, honey and cocoa powder. Cook over medium heat, stirring, 5 minutes. Let cool.
Line 2 baking sheets with parchment paper. Roll the dough into about 24 balls, then flatten into 2-inch disks. Place 1 heaping teaspoon filling in the center. Wrap the pastry over the filling, then roll into a ball, covering the filling. Put on the prepared baking sheets, cover and refrigerate about 30 minutes.
Preheat the oven to 350 degrees F. Bake until the cookies are lightly browned, 20 to 30 minutes. Let cool 2 minutes on the baking sheets, then transfer to a rack to cool completely.
Make the glaze: Whisk the confectioners' sugar and orange zest and juice in a bowl. Brush the cookies with the glaze and top with the nonpareils. Let set, about 15 minutes. Store in an airtight container up to 1 week.