Preheat the oven to 375F. In a bowl combine sugar and butter. Add egg and vanilla extract and mix until smooth.
Sift the flour into the mixture, fold together and shape into a bowl. Flour your working surface and roll the dough until it's 5 mm thick. Transfer the rolled dough into the fridge for 10 minutes to firm up.
Take the dough out of the fridge and use a cookie cutter to press out biscuits. Cut out small holes in half of the biscuits. Return back to the fridge for 10 minutes more.
Transfer biscuits into preheated oven and bake for 7-8 minutes, then take them out of the oven, sprinkle with sugar, return back to the oven and continue to bake for 5-6 minutes.
Transfer to a wire rack to cool completely. When cool, spread jam on the bottom biscuit and top with the biscuit with a hole. Enjoy!