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1. Pulse hazelnuts and 1/4 cup sugar in a food processor until finely ground. Transfer to a medium bowl and whisk in flour, cinnamon, and nutmeg.
2. Beat together butter, remaining 1/4 cup sugar and lemon zest in a bowl with an electric mixer until light and fluffy, about 3 minutes. Add egg yolk and beat until incorporated. Slowly add flour mixture and continue to beat on low speed until just combined.
3. Turn dough out onto a lightly floured surface and knead until it just comes together. Quarter and form into disks. Wrap each in plastic and chill until firm, about 2 hours.
4. Preheat oven to 350 degree F and line 4 large cookie sheets with parchment.
5. Roll separately 2 disks of dough between 2 sheets of waxed paper until 1/8 inch thick (if dough is too soft at any point, re-chill until firm). Cut out holly leaves with a 4-1/2-inch cookie cutter, then cut out 3 small holes with tip of a plain round pastry tip (about 1/4 inch in diameter) for berries at one end of cookies to make top halves of sandwiches. Transfer cutouts to prepared cookie sheets and chill until firm. Gather scraps of dough into a disk and re-chill and cut in same manner to make a total of 17 top halves. Keep chilled.
6. Repeat with remaining dough and scraps in same manner to create 17 bottoms of cookies, but do not punch out holes for berries.
7. Bake cookies, in batches, in upper and lower thirds of oven, switching position of sheets halfway through baking, until golden brown, about 12 minutes. Transfer cookies on sheet to a wire rack to cool completely. Transfer cookie bottoms (without holes) with a metal spatula to a platter, right side up, and spread each with 2 teaspoons of jam. Top each with remaining cookie tops (with berry cutouts), right side up, and press gently together. Dust tops of cookies with confectioners' sugar.
8. Cookies will keep for 1 week in single layers between sheets of waxed paper in an airtight container at cool room temperature. Cookies will soften with time due to the jam and buttery dough. Makes about 17 large sandwiches.