Beat butter and sugar together at medium speed with an electric mixer 2 minutes. Beat in egg and vanilla extract. Combine flour, salt, and lemon zest; gradually stir into butter mixture.
Divide dough into 3 equal pieces (about 1 1/4 cups each); tint 1 piece with yellow food coloring. Tint another piece orange using red and yellow food coloring. (Add 1 to 2 teaspoons flour to orange dough if food coloring makes it softer than other colors.)
Place white, untinted dough in bottom of a 9- x 5-inch loaf pan, pressing down. Top with orange dough and then yellow, pressing down. Cover and chill 2 hours.
Turn dough out onto work surface. Cut slices 3/8-inch thick from dough; cut each slice into 6 triangles. Place cookies on parchment paper–or aluminum foil–lined baking sheets. Bake at 350° for 7 to 8 minutes, or until set but not browned. Cool on wire rack 1 minute; transfer to wire racks to cool completely.
These are adorable little cookies. Cookies go fast in my house so the size of these cookies make them last a little longer.
I'll have to play around with the size to make a little thicker cookie next time-mine turned out a little on the hard side.