Cream butter and sugar with an electric mixer until light and fluffy. Add goat cheese and beat until incorporated.
Beat in egg yolk and vanilla.
In a medium size bowl, whisk together flour, ground hazelnuts, and salt.
Add to butter mixture and mix until just combined.
Remove dough from mixing bowl and form it in a flat disc. Wrap in plastic wrap and refrigerate at least 30 minutes.
Preheat oven to 350 degreed F.
Roll chilled dough on a floured surface, to about ¼-in thickness. Use linzer cookie cutters to make cookies. Leave some whole for the base of the cookies, and some with the hole cut in the middle for the top of the cookies. Place base of cookies on a parchment paper lined cookie sheet and bake cookies 10-12 minutes, or until the edges are golden brown.
Cool completely. Spread jam on the flat side of each cookie bottom. Dust the cookie tops (cookies with cut outs) with powdered sugar and place on top of the bottoms.