This is a recipe filled with jam, but rolled, I will check my own files now:

Jam-Filled Shortbread
Makes 3 dozen cookies.

Plum jam offers the definitive Sugarplum Fairy, from "Best Cookies" by the Pillsbury Company (Clarkson Potter, 256 pages, $19.95).

3/4 c. granulated sugar
3/4 c. brown sugar, firmly packed
1 c. (2 sticks) butter, at room temperature
2 tsp. vanilla
1 egg
2 1/2 c. flour, plus extra for handling dough
3 tsp. grated orange peel
6 tbsp. plum jam

In a large bowl using an electric mixer on medium speed, beat granulated sugar, brown sugar and butter until light and fluffy. Add vanilla and egg; blend well. Add flour and mix well, then add orange peel until thoroughly combined.
On a lightly floured surface, roll out dough to 1/8-inch thickness. Cut with floured 2-inch round or scalloped cookie cutter. In half of cookies, cut small decorative shape from centers.

Place remaining half of cookies 2 inches apart on ungreased baking sheets. Place about 1/2 teaspoon jam in center of each and top with cutout cookies. Return small shapes to dough for rerolling. Bake 7 to 10 minutes or until light golden brown. Cool 1 minute, transfer cookies to wire rack to cool.

Editor's note:
Jam-Filled Sandwich Cookies