Preheat oven to 350 degrees. Thoroughly mix butter, peanut butter, egg yolk, brown sugar, and vanilla in one bowl.
Mix flour and sea salt in another. Combine and mix well until a dough forms.
Roll dough into balls about two inches in diameter. Place on a baking sheet lined with parchment paper. Press the center of each ball with your thumb to create a crater for the jelly.
Bake for 10 to 12 minutes. Spoon jelly into center of each cookie while still warm. Alternatively, you can add the jelly to the cookies before baking. Just be sure to keep an eye on them so they don't burn.