Whisk together the flour, zest and salt, set aside. Combine butter and sugar until light and fluffy, approximately 2 minutes, then add the egg yolks and vanilla.
Combine flour mixture and the butter mixture together until it form into a compact smooth dough. Refrigerate.
Make dough balls and roll in egg whites and almonds. Gently make an indentation with your thumb then bake. When cool, fill with Italian Pastry Cream or your favorite filling.