In a mixing bowl, cream shortening peanut butter and sugars. Beat in egg. Combine dry ingredients; gradually add to creamed mixture.
Cover and chill for 1 hour.
Roll into 1 inch balls; place 2 inches apart on greased baking sheets. Flatten slightly. Bake at 375 degrees F (190 degrees C) for 10 minutes. Cool on wire rack. Spread jam on the bottom of half of the cookie; top with remaining cookie half.