Using an electric mixer, beat butter, brown sugar, and lemon zest in large bowl until fluffy, about 3 minutes. Beat in egg yolk and vanilla.
In a separate bowl, whisk the flour, cornmeal, cinnamon, nutmeg, and salt until blended. Beat dry ingredients into butter mixture in 2 additions.
Gather dough into a ball, wrap it tightly in plastic wrap or parchment paper and chill for at least 30 minutes and up to 24 hours.
Preheat oven to 350℉ and line 2 baking sheets with parchment paper. Shape chilled dough into 1-inch balls. Place the balls 1 inch apart on the baking sheet.
Press your thumb into each ball, forming an indentation. Fill each cookie with about 1/4 to 1/2 teaspoon of jam.
Bake for 10 to 12 minutes or until golden brown. Cool on baking sheets for 5 minutes. Transfer to a wire rack and cool completely, approximately 30 minutes.