Add the room-temperature butter and sugar to a bowl. Use a mixer to cream the sugar and butter together on high speed until the mixture is light in color and creamy in texture.
Separate the egg yolk from the egg white. Add the egg yolk and vanilla to the butter and sugar mixture and mix to combine. Set the egg white aside for later.
In a separate bowl, combine the four and salt until evenly mixed. Add the flour mixture to the mixing bowl with the butter mixture, and mix on low speed until a slightly crumbly dough forms. No dry flour should remain on the bottom of the bowl.
Shape the dough into a ball, wrap in plastic wrap, and chill for 30 minutes in the refrigerator.
When you're ready to make the cookies, preheat the oven to 350ºF and line a baking sheet with parchment paper. Lightly whisk the reserved egg white until it's slightly runny. Place the shredded coconut in a separate bowl.
Divide the dough into 16 equal-sized pieces and roll each one into a ball. Dip each ball into the egg white, then roll it around in the shredded coconut to coat. Place the coated cookies on the prepared baking sheet.
Use the back of a round ½ tsp measuring spoon or your thumb to make an indentation in the center of each cookie. Fill each indentation with about ½ tsp jam.
Bake the cookies for 15 minutes or just until the coconut becomes slightly golden on the edges. Allow the cookies to cool before serving.