Melt the lard and once it cools but doesn't harden, mix it with the yoghurt in which you've dissolved the ammonium bicarbonate ahead of time. Stir well and add flour, as much as is needed to knead a dough.
Leave dough for 1 hour in the fridge. Make walnut-sized balls from it. Flatten them with your palms and place a Turkish Delight piece and walnut in each. Shape into a ball once again.