Preheat your oven to 350°F (180°C) and line a baking sheet with parchment paper.
In a large bowl, whisk together the flour, powdered sugar, and baking powder.
Add the cold butter, and using your fingertips or a pastry blender, cut the butter into the flour mixture until it resembles coarse crumbs.
Grate in the orange and lemon zest, then add the lemon juice and egg. Knead the dough until it comes together into a smooth ball.
Roll out the dough to about 1/4 inch (5 mm) thickness, and cut out round shapes using a cookie cutter. Cut out the center of half of the cookies to create a hole.
Place the cookies on the prepared baking sheet and bake for 12-15 minutes, or until lightly golden brown.
Let the cookies cool completely. Spread the whole cookies with orange marmalade, and then top with the cookies that have a hole in the center.
Dust the finished Linzer cookies with powdered sugar before serving for an extra touch of sweetness.
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