In a bowl, combine cornstarch, flour, baking powder, baking soda and salt. Sift together and set aside
In the bowl of a stand mixer fitted with paddle attachment, place the softened butter and the sugar and mix for 2-3 minutes until light and fluffy, scraping down the sides of the bowl as needed.
Add egg yolks, lemon zest, vanilla extract and grand marnier then mix until combined. Scrape down the bowl.
Add the flour mixture and mix just until it is combined, avoid over mixing.
Transfer the dough onto plastic wrap and form the dough into a disks. Wrap and chill in the fridge for about an hour until it is firm
Preheat oven to 350°F (176℃)Roll out the dough to about 1/4 inch (5 mm) on a lightly floured surface. Using a circle cookie cutter to cut the dough and transfer to parchment paper or silicone-lined baking sheets. Re-rolling scraps if necessary. Bake in the oven for 10 minutes or until golden on the bottom edges. Allow to cool on baking sheet for couple minutes and transfer the cookies to a cooling rack to cool completely. Once the cookies have cooled, place a tablespoon of dulce de leche onto the back of a cookie and place another cookie on top of the filling and gently press to sandwich them together. Roll in shredded coconut and dust powdered sugar and serve!