Grease cookie sheets; set aside. Place flour, cinnamon, allspice, ginger, nutmeg, and salt in a medium bowl; stir to combine.
Place egg yolk in a large bowl; add butter, sugar, milk and vanilla.
Beat butter mixture with electric mixer at medium speed until light and fluffy. Gradually add flour mixture. Beat at low speed until dough forms.
Form dough into a disc; wrap in plastic wrap and refrigerate 30 minutes or until firm.
Preheat oven to 350° Roll teaspoonfuls of dough into 1/2-inch balls; place 2 inches apart on prepared cookie sheets. Flatten each ball to 1/4-inch thickness with bottom of glass dipped in sugar. Prick top of each cookie using fork.
Bake 10-13 minutes or until golden brown. Remove cookies with spatula to wire racks; cool completely.
Prepare Lemon Filling. Spread filling on flat side of half of cookies. Top with remaining cookies, pressing flat sides together. Let stand at room temperature until set.
Store tightly covered at room temperature or freeze up to 3 months.
Lemon Filling: Beat sifted powdered sugar, butter, lemon juice and lemon extract in medium bowl with electric mixer at medium speed until smooth.