In a large bowl, whisk together the flour, ground walnuts, shredded coconut, baking powder, and salt.
Add the powdered sugar, vanilla sugar, and cold, cubed butter. Using your fingertips or a pastry blender, cut the butter into the dry ingredients until the mixture resembles coarse crumbs.
Incorporate the egg yolks and quickly knead the dough until it comes together. If needed, add 1-2 tablespoons of cold water.
Wrap the dough in plastic wrap and refrigerate for at least 30 minutes to make it easier to handle.
On a lightly floured surface, roll out the chilled dough to a thickness of about 3-4 mm. Use a linzer cookie cutter to cut out circles.
Cut out the center of half of the circles with a smaller cookie cutter to create the signature linzer holes.
Place the cookies on a baking sheet lined with parchment paper and bake in a preheated oven at 350°F (180°C) for 10-12 minutes, or until lightly golden brown.
Remove from the oven and let the cookies cool completely on the baking sheet. Spread the bottom halves of the solid cookies with apricot jam.
Place the cookies with the holes on top of the jam-covered bases, and gently press them together to adhere.
Dust the finished linzer cookies with powdered sugar. Let them sit for at least a couple of hours before serving, to allow the flavors to meld.
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