I made these (using your recipe but with some added sugar, orange zest, and fiori di sicilia in the cookies) and found they held together well if you fold them in a pinwheel shape (alternately overlapping the corners, walls folded over and inwards.

The breadcrumbs in the filling helped a lot - I actually increased the ratio a bit to about 1:1 by volume when mixing in my jam. Couldn't taste them in the end result at all, and they kept the filling much more solid during baking.

The end result was delicious - crisp, tender, and photogenic.

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