Make the dough: Mix butter and powdered sugar until creamy. Add egg yolks, vanilla, and sour cream. Gradually mix in flour and salt until a soft dough forms. Refrigerate for 30–60 minutes.
Make the filling: Combine walnuts, sugar, milk, vanilla, lemon zest, and cinnamon in a saucepan. Cook gently, stirring, until thick. Cool completely.
Roll the dough: Preheat oven to 350°F (175°C). Roll the chilled dough thinly and cut into small circles.
Fill and shape: Place a small amount of walnut filling on each circle. Fold the dough over the filling and shape into a crescent.
Bake: Place on a parchment-lined baking sheet and bake for 12–16 minutes, until lightly golden around the edges.
Sugar coating: While still warm, generously dust or roll the cookies in powdered sugar.
