Pulse flour and sugar in a food processor to combine, add butter and blend until mixture resembles breadcrumbs. Add egg yolks, one at a time, pulsing after each to combine. Add just enough cold water to allow dough to come together, then wrap with plastic wrap and refrigerate for at least 30 minutes.
Preheat oven to 190C. Roll out dough onto a lightly floured surface to 5mm thick.
Cut out ovals using a 8cm x 7cm oval cutter (or a 8cm-diameter cutter). Spoon ½ tsp of lemon marmalade into the centre of each oval, bring together the long ends and pinch to join.
Place biscuits on baking paper-lined oven trays and bake for 15-20 minutes or until golden. Transfer to wire racks to cool. Dust with icing sugar and serve.