In a medium-sized, heatproof bowl, whisk together the sugar and cornstarch.
Mix in the egg, lemon juice, and lemon zest.
Place the bowl over a simmering pot of water (bain-marie) and stir frequently until the mixture thickens, about 10 minutes. Continue stirring constantly for an additional 2 minutes.
Remove from heat, stir in the butter until melted, and mix well to cool the mixture rapidly. Cover with plastic wrap, ensuring it touches the surface to prevent a skin from forming, and chill in the refrigerator for at least 30 minutes.
Portion the chilled curd into 10 scoops on a tray and freeze until solid.
In a large bowl, cream together the butter, sugar, lemon zest, and vanilla until smooth and fluffy.
Mix in the egg until well incorporated.
Sift in the flour, salt, and baking soda, then fold gently until the dough forms.
Refrigerate the dough for 20 minutes.
Take a portion of the chilled dough, flatten it, place a frozen curd scoop in the center, and carefully seal the dough around it. Roll the stuffed dough in granulated sugar.
Arrange the cookies on a baking sheet lined with parchment paper, spacing them well apart. Bake in a preheated oven at 350°F for 8-9 minutes or until the edges turn golden.
Allow the cookies to cool on the baking tray to let the curd set slightly before transferring to a wire rack.
