You're going to be making a dough from the ingredients after they've sat at room temperature for awhile.
Beat the butter with the powdered sugar with a mixer until whitened. Add 2 eggs 1 by 1, plus 1 yolk. Pour in the lemon zest too, stir and pour all of this into the flour, which you've sifted with 1 tsp baking powder, the salt and vanilla.
Knead a smooth dough, divide it into 3 parts. Roll out each one into a rectangular sheet about 1/4 thick and smear a thin layer of marmalade all over it, then wrap into a roll.
Cut the roll into stumps - cut at a diagonal angle. Beat the set aside egg white with a fork.
With a small soft brush, smear the outside of each stump with egg white, then roll it in ground hazelnuts. Arrange the stumps in a tray onto baking paper.
Bake for 12-15 min. in a preheated 356°F (180 °C) oven until they redden slightly.