In a medium bowl, whisk together the cornstarch, all-purpose flour, baking powder, baking soda, and salt.
In a large mixing bowl, beat the unsalted butter and granulated sugar together until light and fluffy. Add the egg yolks, one at a time, beating well after each addition. Mix in the vanilla extract and lemon zest.
Gradually add the dry ingredients to the butter mixture, alternating with the milk, beginning and ending with the dry ingredients. Mix until just combined.
Divide the dough into two equal portions and shape each portion into a disk. Wrap each disk in plastic wrap and refrigerate for at least 1 hour.
Preheat your oven to 350°F (175°C). Line baking sheets with parchment paper.
On a lightly floured surface, roll out one disk of dough to about 1/4 inch thickness. Use a round cookie cutter (about 2 inches in diameter) to cut out cookies. Place the cookies on the prepared baking sheets.
Repeat with the second disk of dough.
Bake the cookies in the preheated oven for 10-12 minutes, or until the edges are lightly golden. Allow the cookies to cool on the baking sheets for a few minutes before transferring to a wire rack to cool completely.
Spread a generous amount of dulce de leche on the flat side of half of the cookies. Top with the remaining cookies to form sandwiches.
If desired, roll the edges of the alfajores in shredded coconut. Alternatively, dust the tops with powdered sugar.
Enjoy your meal!