Preheat oven to 180 degrees celsius (fan-forced).
Line two trays with baking paper.
Place butter and sugar into Thermomix bowl.
Mix for 40 seconds, speed 3. Scrape down the sides of the bowl and mix for a further 30 seconds, speed 3 or until smooth and creamy.
With Thermomix running on speed 3, add egg and vanilla through hole in lid and continue mixing on speed 3 for 30 seconds.
Add the flours and coconut and select kneading function. Mix for 40 seconds.
Roll teaspoonfuls of the mixture into balls and place on baking paper lined trays.
Press a fork lightly over the top of the dough balls.
Bake in the oven for 12-15 minutes or until lightly golden-brown.
Remove from oven and leave on the trays for 5 minutes.
Place onto a wire rack to cool completely.
To make the buttercream filling, place icing sugar into the Thermomix bowl and mix for 10 seconds on Speed 9 (to remove lumps).
Add butter, vanilla and milk and mix for 40 seconds on Speed 3.
Place a teaspoon of jam onto the middle of half of the cookies.
Add a teaspoon of buttercream on top of the jam.
Top with another biscuit and press together lightly until the jam and buttercream reach the edges.
Store in an airtight container.