Combine flour, almonds, cocoa, baking powder, sugar, vanilla sugar and lemon zest on the work surface. Create a well in the center and add egg and butter. Combine with a pastry cutter and knead into a smooth dough. Add cold water or flour as needed. Wrap in plastic and chill for about 1 hour.
Preheat the oven to 180°C (approximately 350°F). Line 2 baking sheets with parchment paper.
Thinly roll out dough on a floured surface. Use 3 different sized triangular cookie cutters to cut out equal amounts of each size. Place cookies on baking sheets and bake for about 12 minutes, until light brown.
Remove cookies and place on a wire rack. Add a bit of jam to the centers of the two larger sizes, then stack cookies, largest to smallest, allowing jam to adhere cookies together. Dust with powdered sugar and let cool completely. Serve at room temperature.