Prepare Lemon Curd Filling by whisking together caster sugar and cornstarch in a medium saucepan. Add egg, fresh lemon juice, and lemon peel; stir until smooth. Heat over a bain-marie, stirring for about 10 minutes until thick, then cool and refrigerate for 30 minutes.

Make Cookie Dough by creaming unsalted butter and caster sugar in a large mixing bowl until light and fluffy. Mix in lemon zest and egg, then sift in all-purpose flour, salt, and baking soda, folding until a soft dough forms. Chill the dough for at least 20 minutes.

Assemble Cookies by preheating the oven to 180°C (350°F) and lining a baking tray with parchment paper. Flatten a portion of chilled dough, place a dollop of frozen lemon curd in the center, wrap the dough around it, roll into a ball, and roll in granulated sugar.

Bake Cookies for about 8-9 minutes, until light golden edges form. Allow them to cool on the tray for a few minutes before transferring to a wire rack.