Preheat oven to 350 degrees F. Line cookie sheets with parchment paper or use baking stones.
In a bowl attached to a stand mixer (or with a hand mixer), cream together butter, coconut oil, sugar, zest, lemon oil, vanilla, and salt until light and creamy, scraping down bowl as needed. Beat in egg.
With mixer on low speed, gradually add in flour and mix until well blended, scraping down bowl as needed.
Using a medium cookie scoop, scoop out dough onto prepared sheets. Using your thumb, press down in middle of dough to make indentation. Bake cookies for 12-14 minutes or until lightly browned around edges. Remove from oven and let cool on sheet for 5 minutes before transferring to wire rack to cool completely.
Once cookies are cool, use a 1/4 teaspoon and fill indentation with jelly. Store in airtight container.