Heat the oven to 190C (170C fan)/375F/gas 5, and line two baking trays with greaseproof paper.
For the cookies, put the lemon zest, sugar and thyme in a bowl and, using your fingertips, rub the zest and thyme into the sugar until it becomes fragrant. Mix in the flour and diced butter, then use your fingers again to rub the butter into the flour until the mix resembles fine breadcrumbs. (You could also do this in a food processor.)
Make a well in the mixture, pour in the egg yolks and a teaspoon of water, then use a table knife to stir the mixture together. Once it starts to clump, use your hands to bring it together into a dough.
Break off roughly 30g pieces of dough and roll them between your palms. Put these on the lined trays, leaving a little space between them, because they will spread while baking.
Use a thumb to press a deep indent into the middle of each. Bake for 18-20 minutes, until the edges are lightly browned, then remove from the oven and leave to cool completely.
While they are baking, make the curd. Put all the ingredients in a saucepan and heat gently. With a rubber spatula or wooden spoon, stir the mix ly for seven to 10 minutes, until the curd thickens enough to coat the back of the spoon.
Pour the hot curd through a sieve and into a sterilised jar, then leave to cool completely.
Fill the indent in each cookie with some lemon curd, dust with icing sugar and serve.
