In a bowl, cream shortening, peanut butter and sugars. Beat in egg. Combine dry ingredients; gradually add to creamed mixture. Cover and chill for 1 hour. Roll into 1-in. balls; place 2 in. apart on greased baking sheets. Flatten slightly.
Bake at 375° for 10 minutes or until golden brown. Cool on wire racks. Spread jam on the bottom of half of the cookies; top with remaining cookies.