Preheat oven to 325 degrees F. Line baking sheets with parchment paper.
In a large bowl beat softened butter and sugar with an electric mixer until light and fluffy. Add egg yolks (one at a time), allowing each yolk to incorporate into butter/sugar mixture before adding the next. Add vanilla extract, and lemon zest; mix well and set aside. In a separate bowl stir flour, cornstarch, salt, baking soda, and baking powder together. Add flour mixture to sugar/butter mixture with a spoon, making a crumbly dough. When the dough starts to hold together press it into a ball. Wrap with plastic wrap and chill for 30 minutes to 1 hour.
Lightly flour surface and roll out the dough to 1/4" thickness. Cut with a 2" round cookie cutter. Continue pressing the dough together, rolling it out, and cutting until you have used all the dough. Place cookies 1/2 inch apart on the prepared cookie sheets.
Bake in the preheated oven until set but not browned, approx. 12 to 15 minutes. Using spatula; remove cookies immediately to cool on a wire rack.
Spread the underside of a cooled cookie with a teaspoon of dulce de leche, then top with another cookie (creating a sandwich). When the caramel oozes out the sides roll the sides in the shredded coconut.