Italian Walnut Pillow Cookies

Preheat the oven to 350°F. Line two cookie sheets with parchment paper.

Make the Dough: In a medium bowl, whisk together the flour, baking powder, and salt.

Using an electric mixer on medium speed, cream together the sugar and shortening. Add the egg and vanilla and combine well.

Add in the remaining ingredients, alternating between the flour mixture and milk, starting and ending with the flour mixture. Divide the dough into four even pieces, wrap each in plastic wrap, and refrigerate for at least 1 hour.

Make the Filling: In a large bowl, stir together the chopped nuts and sugar. Add the melted butter and stir until evenly moistened. Add the egg whites and mix well until completely combined.

Assemble the Cookies: Roll out a piece of dough into a rectangle measuring about 6 inches by 18 inches. Spread one-quarter of the nut filling onto the dough, leaving a small border. Roll up jelly roll style, seal the ends, and cut into 1-inch pieces. Place on the prepared baking sheet cut-side-up. Repeat with remaining dough and filling.

Bake until the cookies are a light golden brown, about 30 minutes. Transfer the cookies to a wire rack and cool completely.

Ice the Cookies: Whisk together the powdered sugar, vanilla, and milk. Dip the tops of the cookies into the icing and let any excess drip off. Allow the icing to set completely before storing.