Combine flour, cornmeal, sugar, and lemon zest in a large bowl. Add butter and egg yolks. Using your fingers, work butter and egg yolks into flour–cornmeal mixture until a soft dough forms. Turn dough out onto a clean surface and knead 4–5 times until smooth (dough will be soft and tacky). Cover dough with a clean damp kitchen towel and set aside to let rest for 1 hour.
Preheat oven to 300°. Line cookie sheets with parchment paper and set aside. Transfer dough to a pastry bag fitted with a ⅜" star-shaped pastry tip. Pipe 2"-diameter spirals of dough out onto prepared sheets about 2" apart. Bake until edges turn pale golden, 20–25 minutes. Allow cookies to cool briefly, then transfer them to a rack to let cool completely. Serve with Zabaglione, if you like.