Sift together the cornstarch, flour, baking soda, and baking powder. Set aside.

Cream the butter and sugar together, preferably in a stand mixer at medium speed for about 2-3 minutes, until light and fluffy. Add the egg yolks, one at a time to the batter, mixing just until combined. Then add in the lemon zest, rum and vanilla and mix just to combine. 

Add the dry ingredients, mixing only until combined. Press the mixture on plastic wrap into a flat disc and refrigerate at least one hour until firm enough to roll out easily. 

Roll out half the dough and using a cookie cutter, biscuit cutter, or small glass, cut it into circles (Choose size between 3/4-inch -2-inches. Make them all uniform.)

Preheat the oven to 350 degrees F. Chill the cookies on a parchment-lined cookie sheet before baking, preferably in the freezer for 15 minutes. 

Bake for 10-14 minutes, one cookie sheet at a time, just until the bottoms lightly brown. Cool the cookies on the cookie sheets for a few minutes, then transfer them to a wire sheet.

Gently spread about 1 teaspoon of dulce de leche on the wrong side of a cookie, making sure to get it to the edges of the cookie. Top with another cookie and (again gently) press them together. Roll the edges where the dulce de leche peeks out in a small bowl filled with the coconut shreds. Turn the cookie around as you roll it, so that all the edges are lightly coated with coconut.