Prepare the dough In a large bowl, beat butter and cream cheese until smooth. Add egg yolk, sugar, vanilla, and salt. Gradually mix in flour until a soft dough forms.
Chill the dough Divide dough into 2 portions, wrap in plastic, and refrigerate for at least 1 hour.
Make the walnut filling In a saucepan over low heat, combine walnuts, sugar, milk, butter, vanilla, and cinnamon. Stir until thickened slightly, about 3–4 minutes. Let cool completely.
Roll and fill Preheat oven to 350°F (175°C). On a lightly floured surface, roll dough into a thin rectangle. Spread a thin layer of walnut filling over the dough.
Shape the cookies Roll up jelly-roll style and slice into small pieces, or cut into triangles and roll crescent-style.
Bake Place on a parchment-lined baking sheet and bake for 18–22 minutes, or until lightly golden.
Finish Cool completely and dust generously with powdered sugar.
