In a large bowl, whisk together flour, cornstarch, and salt; set aside.
In the bowl of a stand mixer fitted with the paddle attachment, beat together butter and confectioners’ sugar with an electric mixer until pale and fluffy, about 3 minutes. Beat in zest and vanilla. Mix in flour mixture on low speed just until a soft dough forms.
Place sanding sugars for rolling in two shallow bowls. Roll a teaspoon of dough, roll the ball in the sanding sugar, and then place it on the prepared baking sheet. Repeat with the remaining dough, spacing the balls about 1 inches apart. Place baking sheets in refrigerator for 30 minutes.
Adjust oven racks to the middle position and preheat oven to 350°F.
Bake 12 to 15 minutes or until tops are slightly cracked but still pale (bottoms will be pale golden). Transfer cookies to a rack to cool completely.
Make Filling and Sandwich Cookies:
While the cookies are cooling, beat together all filling ingredients in a large bowl of a stand mixer fitted with the paddle attachment at medium speed until combined. Transfer to sealable bag and snip off a corner.
Pipe about 1/2 teaspoonful filling on flat side of 1 cookie. Top with second cookie, forming a sandwich. Repeat with remaining filling and cookies. Store in airtight container in refrigerator.