Make the pastry cream. While the pastry cream is in the fridge, make the cookie dough. In a mixing bowl, whisk together the flour, baking soda, sugar, salt and zest, then add yolks and butter.
Pulse or mix with the flat beaters to form a compact dough. Move the dough to a flat surface and form into a soft dough. Wrap in plastic and refrigerate. Roll out dough and cut. Fill with pastry cream and bake.