Preheat oven to 350 degrees.
In the bowl of a stand mixer, combine shortening, peanut butter and sugar. Beat until creamy.
Add vanilla, salt and egg. Mix until combined. Then, with speed on low, gradually add flour until incorporated (the dough will become thick).
Using a standard cookie scoop, create a ball of dough. Using your thumb or a spoon, press a deep circle into the center of the cookie. Place on an ungreased sheet and bake for 12-15 minutes, until cookies are golden brown (they will look like they are cracking but once they come out of the oven they usually sink and the cracks disappear).
Remove from oven, gently/carefully press down the center if it has become shallow. Transfer immediately to a wire rack to cool completely. Once cooled, using a small spoon, fill with jam.