In a mixing bowl, cream butter and sugar. Beat in the egg yolk and vanilla. Gradually add flour. Shape into two 14-inch rolls; reshape each roll into a 14-by-1 1⁄8-by-1 1⁄8-inch block. Wrap each in plastic wrap. Refrigerate overnight.
Unwrap and cut into 1⁄4-inch slices. Place 2 inches apart on ungreased baking sheets. Sprinkle half of the cookies with nuts, gently pressing into dough. Bake at 400 degrees for 8–10 minutes or until golden brown around the edges. Remove to wire racks to cool.
In a small mixing bowl, cream butter, lemon juice and orange peel. Gradually add confectioners' sugar. Tint yellow if desired. Spread about 1 teaspoon on bottom of the plain cookies; place nut-topped cookies over filling.