Pre-heat oven to 350F (180C). Line one or two cookie sheets with parchment paper.
Make the Italian Pastry Cream before you make the cookies, because the cream needs to be refrigerated for approximately 2 hours.
FOR COOKIE DOUGH
In a large bowl add the flour, baking powder, sugar, butter, zest, vanilla and egg start to beat on medium speed and add a tablespoon of milk one at a time until it forms a soft dough, dough will be slightly sticky. (move to a wooden spoon if needed)
With floured hands roll the dough into 16 balls (try to make them all the same size). Place on parchment paper lined cookie sheets, about one inch apart. Bake for approximately 15-20 minutes.
Let the cookies cool enough to be held, then with a sharp small knife remove the middle of the cookie (make a small well / hole). Fill each hole with some cooled Pastry Cream. Place two cookies together to form a circle.
In one bowl place some Alchermes Liqueur or substitute** and another small bowl with some granulated sugar. First dip the cookie in the liqueur (don't let them sit or they will fall apart), place on a wire rack for 30 seconds (if you don't let them sit then the sugar will just all clump together on the cookie) then roll them in the sugar. Refrigerate for approximately 30-60 minutes before serving. Enjoy!
**Alchermes can be substituted for a peach liqueur with a little red food dye or Red Campari.
Any extra Pastry Cream can be used to fill just about anything, can keep in the refrigerator for about 2-3 days.