Grind toasted almonds in a blender until finely ground and set aside.

Beat softened butter and sugar in a large bowl with a mixer until light and fluffy.

Add ground almonds, eggs, and lemon zest to the bowl; mix well.

Gradually add flour, kneading with your hands until well blended.

Refrigerate the dough for 1 hour.

Preheat the oven to 350°F (175°C).

Roll out the dough on a lightly floured surface to 1/4-inch thickness.

Cut out 72 rounds using a 2-inch cookie cutter, re-rolling scraps as necessary.

Place the cookies 2 inches apart on baking sheets sprayed with cooking spray.

Bake for 15 minutes, or until lightly browned.

Cool the cookies on the baking sheets for 3 minutes.

Transfer the cookies to wire racks to cool completely.

In a saucepan, cook caramels and milk over medium heat for 5-7 minutes, stirring constantly, until the caramels are completely melted and the mixture is well blended.

Spread about 1 teaspoon of the caramel mixture onto half of the cookies.

Top each caramel-covered cookie with a second cookie to make a sandwich.

Roll the sides of the sandwich cookies in coconut.

Let the cookies stand until the caramel filling is firm.