1. In large bowl, beat at low speed butter, sugars, the water, vanilla, nutmeg and salt 2 minutes. Scrape down sides. Beat at medium-low until fluffy, about 2 minutes. Beat in egg yolk, then ground pecans.
2. At lowest speed, beat in flour just until blended. Dough should be stiff, but still soft; add a little more flour if needed.
3. Turn out onto floured surface. Divide in half. Shape each into block, 1-inch thick. Wrap in plastic. Refrigerate 1 hour.
4. Heat oven to 350 degrees F. Between sheets of waxed paper, roll out half of dough to 1/4-inch thickness. Using 1-inch round cutter, 1-inch fluted cutter, 1 1/2-inch star cutter, punch out cookies (even number of each shape to sandwich together). Space 1 inch apart on ungreased baking sheets. Repeat with other half of dough.
5. Bake in 350 degrees F oven for 13 to 15 minutes, until uniformly tan. Cool on wire racks.Assemble cookies:
6. Sandwich cooled cookies, flat sides together, with scant 1/4 teaspoon jelly per cookie. Press together. Spread glaze evenly over one side of each sandwich cookie. Dip half of cookies (about 27) in coarse sugar to cover glaze. Let stand until glaze is set.Glaze:
7. In bowl, mix confectioners sugar and water until glazing consistency.