Cream butter and sugar until light and fluffy. Beat in egg and extracts. In another bowl, whisk flour, baking soda and salt; gradually beat into creamed mixture. Stir in pecans. Divide dough in half; shape into logs. Wrap each in plastic. Refrigerate until firm, 1-2 hours.
Preheat oven to 350°. On a floured surface, roll each portion to 1/8-in. thickness. Cut with a floured 3-in. fluted round cookie cutter. With a floured 1/2-in. round cookie cutter, cut out centers of half the cookies. Place solid and window cookies 1 in. apart on ungreased baking sheets. Bake until lightly browned, 10-12 minutes. Remove to wire racks to cool.
For filling, combine sugar, cornstarch and salt in a small saucepan. Stir in lemon juice until smooth. Over medium heat, cook and stir until slightly thickened and bubbly, about 2 minutes. Stir a small amount of hot mixture into egg yolks. Return all to pan. Bring to a gentle boil, stirring constantly until mixture reaches 160° and coats the back of a metal spoon, about 2 minutes longer. Remove from heat; stir in butter and lemon peel. Pour into a bowl; cover surface with plastic wrap. Chill 2-3 hours (mixture will be thick).
Spread 1 tablespoon filling on bottoms of solid cookies; top with window cookies, pressing down lightly. Sprinkle with confectioners' sugar. Refrigerate.