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Preheat oven to 350F. Line a baking sheet with parchment paper.
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Beat together the butter and sugar on medium speed with a hand mixer (or in your stand mixer). Add egg, vanilla and lemon zest and cream together on medium until combined. In a separate mixing bowl, whisk together flour and salt. Pour dry ingredients into the wet ingredients and mix until just combined.
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Divide the dough into 2 and roll each one into a thin strip about the length of your baking sheet. Place on pan and press your index finger down the middle to form a crater or canal down the middle. Bake for 10 minutes. Take out and spoon jam into the groove, then return to the oven for 8-10 minutes, until golden. Let cool and cut into diagonal strips.