Pre-heat oven to 350 degrees and line a baking sheet with parchment paper.
In a medium bowl, whisk together flour, cornmeal, and salt.
In the bowl of a stand mixer or in a large bowl with a hand mixer, beat butter and ¼ cup sugar on medium speed until pale and fluffy, about 2 minutes. Add orange zest and egg yolk and mix until just combined.
With the mixer on low speed, add flour mixture until just combined.
Whisk the egg white in a small bowl and put the remaining ¼ cup sugar on a small plate. Take about 2 teaspoons of dough, roll into a ball, dip into the egg white, and then roll in sugar. Place on prepared baking sheet.
Place about 1 inch apart and gently press center of dough with your thumb to make a little imprint. Bake for 15-17 minutes, until cookies are pale golden, rotating trays halfway through. Let cookies cool on racks for a few minutes before moving to wire racks to cool completely.
Once the cookies are cooled, spoon a small amount of filling into the indentation.