In a medium bowl, whisk together cornstarch, almond flour, baking powder, and salt. Set aside.
In a large bowl, beat softened butter and powdered sugar with an electric mixer until light and creamy, about 2 minutes. Add the egg yolks one at a time, beating well after each. Mix in the vanilla extract and lemon zest.
Add the flour mixture and mix on low speed until a soft dough comes together. It will be slightly crumbly at first but will hold together when pressed. Wrap the dough in plastic wrap, flatten into a disc, and refrigerate for at least 1 hour.
Preheat your oven to 325 degrees F and line two baking sheets with parchment paper. Roll the dough out to about 1/4 inch thick between two sheets of parchment paper. Cut out rounds using a 1 1/2-inch round cookie cutter and place them 1 inch apart on the prepared baking sheets.
Bake for 12 to 14 minutes until the bottoms are very lightly golden. The tops will remain pale. These cookies are delicate, so let them cool completely on the baking sheet before handling.
Spread about 1 teaspoon of dulce de leche on the flat side of one cookie, then press the flat side of another cookie on top to create a sandwich. Repeat with all remaining cookies.
Place the shredded coconut in a shallow bowl. Gently roll the exposed dulce de leche edges of each sandwich cookie in the coconut so it sticks to the filling. Serve at room temperature.