In a medium bowl, sift together the cornstarch, all-purpose flour, baking powder, and baking soda using a fine mesh strainer. Set aside.
In a stand mixer, cream together the butter and sugar using the paddle attachment on medium speed for 4 minutes, until light and fluffy and the mixture is a pale yellow color.
Add the egg yolks, vanilla extract, and lemon zest into the creamed mixture and mix together until just combined.
Reduce the speed to low and slowly add the dry ingredients into the mixer bowl ½ cup at a time until just combined.
Place the dough on a clean and smooth surface and shape into a ball. Wrap the dough ball in plastic wrap and refrigerate for 1 hour, until the dough is firm and can easily be rolled.
Take the dough out of the fridge and place it on a lightly floured surface. Cut in half and preserve one half of the dough wrapped in plastic wrap in the refrigerator while you work with the other half.
Roll out the dough until it is ¼ inch thick.
Using a 2-inch round cookie cutter, cut out cookies and place on a prepared baking sheet lined with parchment paper. Continue shaping, re-rolling, and cutting the dough with the remaining scraps and repeat until all the dough is used, including the other half of the refrigerated dough.
Preheat the oven to 350°F. While the oven preheats, place cookie sheets in the fridge for 15 minutes to allow them to cool and prevent spreading during baking.
Bake the cookies for 11 minutes on the center rack, until the edges reach a golden brown color.
Transfer the baked cookies onto a cooling rack and allow them to cool completely, about 15 minutes.
Assemble the cookies by spreading 1 tablespoon of dulce de leche on the bottom half of the cookie with a small spatula and then placing another cookie on top, lightly pressing down to create a sandwich cookie. Continue this process until all the cookie sandwiches are assembled.
Roll the sides of the cookie in a plate with shredded coconut if using, and dust the tops with powdered sugar using a fine mesh strainer. Serve and enjoy!
Notes
These cookies are great to prep ahead of time. The dough can be chilled in the refrigerator for up to 3 days.
I used store-bought dulce de leche, but you can definitely make your own with my dulce de leche recipe.
Depending on the size of your oven, you may have to bake the cookies in batches. While one batch is baking, place your unbaked cookies in the refrigerator.