Cream butter in a large mixing bowl; gradually add sugar, beating until light and fluffy. Add egg yolks, beating well. Add lemon rind, juice, orange rind, vanilla, and salt; mix well. Sift flour; add to creamed mixture, mixing well.
Shape into 1-inch balls. Dip each ball in egg whites, and roll in pecans. Place 2 inches apart on ungreased cookie sheets; bake at 350° for 5 minutes.
Remove cookie sheets from oven, and quickly make an indention in the center of each cookie with the end of a wooden spoon handle. Return to oven, and bake an additional 8 minutes. Cool slightly on cookie sheets; remove cookies to wire racks, and cool completely. Fill the center of each cookie with jelly.