Dulce de Leche: Line a quarter-sheet pan with two layers of plastic wrap. Pour 4 cups of water into the bowl of a 6-quart electric pressure cooker. Empty 2 cans of sweetened condensed milk into a 1.5-litre metal bowl that will fit in the pressure cooker. Cover the bowl with parchment paper, then aluminum foil, and seal tightly. Place the bowl in the pressure cooker; water should be about halfway up the sides of the bowl. Lock the lid in place and cook on high pressure for 65 minutes. Manually release the pressure, then remove the lid. Using tongs and a tea towel, remove the bowl. Lift off the foil and parchment paper. Use an immersion blender to smooth out any lumps in the dulce de leche. Transfer the dulce de leche to the prepared sheet pan and chill it briefly in the fridge until thickened. Transfer it to a piping bag.

Chocolate Alfajores: Adjust the oven rack to the middle position and heat the oven to 350 F. Line two baking sheets with parchment paper. Combine the sugar and orange zest in the bowl of a stand mixer fitted with the paddle attachment. Rub the sugar and zest together with your fingertips until the mixture looks like wet sand. Add the butter and beat on medium speed until light and fluffy, about 3 minutes. Sift together the cornstarch, cocoa powder, flour, salt and baking powder. With the mixer on medium speed, add the egg yolks one at a time. Add the vanilla extract and scrape down the sides of the bowl. Set the mixer to the lowest speed and slowly add the dry ingredients. Split the dough into two even portions and shape each into a flat disc. Wrap each disc in plastic wrap and chill in the freezer until they’re firm enough to roll but not frozen, about 10 minutes. Roll it out so it’s ¼ inch thick. Using a 2-inch round cookie cutter, cut out the cookies and place them directly on the prepared baking sheets. Chill for 5 to 7 minutes. Bake the cookies for 8 to 9 minutes. Allow them to cool fully on the tray. Pipe about 1 tablespoon of dulce de leche on the underside of one cookie. Top with another cookie. Chill until you’re ready to coat them in chocolate.

Chocolate Coating: Line a baking sheet with parchment paper. In a double boiler, heat two-thirds of the chocolate along with the shortening to 122 F. Remove from the heat and add the reserved chocolate. Continue stirring until the temperature reaches 80 F. Return the mixture to the double boiler and heat gently to 88 F. Dip each cookie in the chocolate. Chill them in the fridge until fully set, about 10 minutes.

Vanilla Alfajores: Adjust the oven rack to the middle position and heat the oven to 350 F. Line two baking sheets with parchment paper. Combine the sugar and lemon zest in the bowl of a stand mixer fitted with the paddle attachment. Rub the sugar and zest together with your fingertips until the sugar looks like wet sand. Add the butter and beat on medium speed until light and fluffy, about 3 minutes. Sift the cornstarch, flour, salt and baking powder. With the mixer on medium speed, add the egg yolks one at a time. Add the vanilla extract and scrape down the sides of the bowl. Set the mixer to the lowest speed and slowly add the dry ingredients. Split the dough into two even portions and shape each into a flat disc. Wrap each disc in plastic wrap and chill in the freezer until they’re firm enough to roll but not frozen, about 10 minutes. Roll it out so it’s ¼ inch thick. Using a 2-inch round cookie cutter, cut out the cookies and place them directly on the prepared baking sheets. Chill for 5 to 7 minutes. Bake the cookies for 8 to 9 minutes. Allow them to cool fully on the tray. Pipe about 1 tablespoon of dulce de leche on the underside of one cookie. Top with another cookie. Coat the edges in shredded coconut.