1. Preheat oven to 350°F and line two large baking sheets with parchment paper. Using an electric mixer on medium speed, beat butter and sugar until fluffy, about 3 minutes. Beat in egg yolk (reserve white) and vanilla. Reduce speed to low and beat in flour and salt. Continue mixing until dough comes together in a ball.
2. In a bowl, mix walnuts and sugar. Roll dough into 1-inch balls, dip each in egg white, then roll in walnut mixture, turning to coat. Transfer to baking sheets. Using your finger, make a deep indentation in center of each ball. Transfer pans to refrigerator; chill 20 minutes.
3. Fill center of each cookie with some of jam (do not overfill or jam will leak out). Bake, rotating sheets halfway through, until cookies are golden brown, about 10 minutes. Let cool for 5 minutes on baking sheets on wire racks, then transfer cookies to wire racks to cool.