By hand: In a medium bowl, mix gluten-free all-purpose flour, sugar, salt, and cold diced butter. Rub together with your fingertips until it resembles breadcrumbs. Add the cocoa powder and mix to combine. Add the egg and vanilla extract, followed by the ground walnuts. Mix until the dough comes together. Don’t knead the dough.
With a food processor: pulse the gluten-freeall-purpose flour, powdered sugar, salt, and cold butter until the mixture resembles coarse crumbs. Add the cocoa powder, egg, vanilla, and ground walnuts, and process just until the dough comes together. Transfer the dough to the counter and gently bring it together. Do not knead the dough, as overworking it can make the cookies less tender.
Let the dough rest covered in the refrigerator for at least 30 minutes.
Preheat the oven to 350°F (180°C). Line baking sheets with parchment paper or a silicone mat.
Lightly flour your work surface with gluten-free flour and roll the dough to about 1 cm thick.
Cut the dough into rounds using a 1- or 2-inch round cookie cutter. Gather the scraps, gently bring them together, and repeat until you have used all the dough.
Place the cookies on the prepared baking sheets and bake for 10 to 12 minutes.
Let the cookies cool completely before removing them from the baking sheet.
Once the cookies are completely cool, spread dulce de leche over the flat side of one cookie. Top with another cookie and gently press the two together until the filling reaches the edges.