Add the flour, sugar, and salt to the bowl of a stand mixer fitted with a paddle attachment. Mix on low for 10-15 seconds to combine.
Next, add the cold butter and beat until crumbly. Add the egg and then beat at medium speed until the dough starts to form. If the mixture is not coming together well, add 1-2 tablespoons of cold milk until the dough begins to form.
Turn out the dough on a floured surface and knead by hand to form a smooth dough. Cover in plastic wrap and refrigerate about 1 hour until firm.
Once the dough has chilled, preheat the oven to 350 degrees F. Line a couple of cookie sheets with parchment paper (or silicone mats). Set aside.
On a floured surface, roll out the dough to 1/4-inch thickness. Use a round cutter to cut out the cookie; then use a smaller shaped cutter to cut out the center of half the cookies. (Remember, you'll need one cookie for the bottom without the center cut out, and one cookie for the top with the center cut out.)
Transfer the cut-out cookies to your prepared baking sheets. Bake for 10-12 minutes. The cookies should be baked, but not browned.
(Repeat this process with the remaining dough.)
Remove the cookies from the pans and let the cookies cool on a wire rack. Before they are completely cooled, add about 1 teaspoon of raspberry jam onto the bottom side of the cookies without the cutout. Then, place the cookies with the cutout on each jam-topped cookie. Gently press the two cookies together. Allow the sandwich cookies to cool completely; then dust with confectioners' sugar.
The cookies can be stored in an airtight container for up to 1 week.