For cookies, melt 2 sticks (1 cup) butter in a saucepan over medium heat and cook, swirling pan, until brown specks appear, 5–8 minutes. Transfer brown butter to a bowl and cool until nearly solidified.
Pulse 1 cup hazelnuts in a food processor until coarsely ground. Add 1⅓ cups confectioners’ sugar and process until it reaches a texture of a fine meal, about 30 seconds. Transfer hazelnut mixture to a bowl with remaining 1 stick (½ cup) softened butter; beat with a hand mixer on medium speed until light and fluffy (you can also use a stand mixer here).
Beat in brown butter until combined, then beat in 2 egg yolks, 1 teaspoon vanilla, and ½ teaspoon lemon zest until combined.
Whisk together 3 ¼ cups flour, ½ teaspoon salt, and ¼ teaspoon nutmeg; gradually beat into butter mixture just until blended.
Divide dough in half; shape each into a disk, wrap in plastic wrap, and chill, 1 hour, or up to 4 days.
Preheat oven to 325°F with racks set in upper-middle and lower-middle positions. Line two baking sheets with parchment paper.
Roll each dough half between two sheets of parchment paper to ⅛-inch thick (if the dough is too firm, let it sit out for 20 minutes before rolling).
Cut dough with a 3-inch cookie cutter, then cut out centers of half with a 1½-inch cutter. Transfer cookies to prepared baking sheets, and chill until firm, 10 minutes.
Bake cookies until golden, 12–13 minutes, rotating pans halfway through baking. Let cookies cool on baking sheets, 2–3 minutes, then transfer to a rack to cool completely.
Reroll scraps and repeat cutting, chilling and baking until all of the dough is used.
For filling, melt jelly with crème de cassis and zest in a saucepan over medium heat; let cool.
Sprinkle hollow cookies with powdered sugar.
Spread a heaping ½ teaspoon filling on solid cookies; top with hollow cookies, then fill centers with ¼ teaspoon more filling.