In a bowl, beat together brown sugar, shortening, butter, vanilla and egg yolk. Stir in flour and salt.
Roll dough into 1 inch balls. Place egg whites and pecans in two separate bowls. Dip each ball in egg whites and then roll in pecans. Place about 1 inch apart on an ungreased cookie sheet. Press thumb into centre of each cookie. Make sure to not press too far down.
Bake 13 minutes. Immediately remove cookies from cookie sheet to a wire rack. Let cool 30 minutes. Fill each cookie with 1/2 tsp jam.