Preheat oven to 350 degrees. Line a baking sheet with parchment paper or baking mats; set aside.
In a bowl, stir together the egg, sugar, olive oil, lemon zest and lemon juice until well combined. Stir in the baking soda until combined. Add in the flour and stir until the mixture forms a batter.
Place the powdered sugar in a small bowl. Using a small scoop or spoon, measure out the dough and roll into balls. Roll the balls in the powdered sugar and place on the baking sheet about two inches apart.
Bake in preheated oven for about 12 minutes. Let cool for five minutes before removing to cooling rack to cool completely.
