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Warm milk to just above room temperature. Dissolve the yeast in the milk, set aside. In a medium bowl, stir together the flour, salt and baking powder. Cut in the shortening until the mixture is mealy. Stir in the egg yolks and milk mixture. Knead the dough together and then refrigerate overnight.
Preheat oven to 350 degrees F (175 degrees C).
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Dust a clean, dry surface with confectioners' sugar. Knead the dough for a few minutes. Carefully roll out your dough to 1/4 inch thickness. Cut out circles with a cookie cutter. Place a teaspoon of jam on the center of each circle, fold the dough over, and seal the edge with a fork.
Bake for 12 to 15 minutes in the preheated oven. Do not store in an airtight container or they will become soggy.
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