Cookies:

1. Add the butter, sugar, egg yolk, flour, and salt to a food processor. Pulse until combined.
2. Add the water and pulse until the dough comes together into a ball.
3. Remove dough to a floured surface, and press together until lightly tacky (not sticky).
4. Divide dough into two halves and wrap in plastic wrap. Chill in the fridge for 1-2 hours.
5. Once the dough is chilled, preheat the oven to 375°F. Wrap clothespins in small sheets of foil.
6. Roll out one half of the dough on a floured surface into a 12×8-inch rectangle. Trim the edges and cut into 1-inch strips.
7. Wrap each strip of dough around a prepared clothespin, overlapping dough about ¼ inch. Place on a parchment-lined baking sheet with the ends facing down. Repeat with the second half of dough.
8. Bake for 18-20 minutes, until lightly browned.
9. Let the cookies cool for 2-3 minutes before gently removing the clothespins. Cool completely on a wire rack.

Filling:

1. In a pan, add flour, sugar, and milk. Cook over medium heat, whisking constantly, until thickened (about 10 minutes).
2. Remove from heat and transfer to a heatproof bowl. Cover with plastic wrap, ensuring the wrap touches the mixture to prevent a film from forming. Chill in the fridge for 40 minutes.
3. Whip room temperature butter with a stand mixer and whisk attachment for 8 minutes, until light and fluffy.
4. Add the cooled flour mixture to the butter one scoop at a time until incorporated.
5. Switch to the paddle attachment, then add vanilla and salt. Beat on medium-high for 10-13 minutes, until smooth and fluffy.
6. Pipe the filling into the cooled cookie shells using a piping bag with a star tip.