Mix caster sugar and cornstarch well in a heatproof bowl. Whisk in an egg, lemon juice, and lemon peel. Place over simmering water, stirring for about 10 minutes until thickened. Remove from heat, add butter, stir until melted, let cool, then refrigerate for at least an hour.

Divide cooled lemon curd into ten portions. Place on a parchment-lined baking sheet and freeze until solid, about one hour.

In a large bowl, cream together softened butter and caster sugar until light and fluffy. Add lemon zest and vanilla, then the egg, mixing well. In another bowl, sift flour, baking soda, and salt, then fold into wet ingredients to form a dough. Chill for 20 minutes.

Preheat oven to 350°F. Scoop a tablespoon of dough, flatten it, place a frozen curd portion in the center, wrap it around, and roll into a ball. Roll in granulated sugar, then place on a baking sheet lined with parchment.

Bake cookies for 8-9 minutes until edges are lightly golden and centers remain soft. Let cool on the tray for a few minutes before transferring to a wire rack.