In a small saucepan set over medium-low heat, combine the cranberries, water, sugar, lemon juice, cinnamon and salt. Simmer over a low flame until the cranberries are plump, the sugar dissolves, and most of the water evaporates or is soaked up by the dried fruit, about 20 minutes. Remove from heat and let the mixture cool slightly. Transfer to a food processor or blender and pulse until a smooth paste forms. Pour into a small bowl, cover, and refrigerate until set and ready to use.
In a large bowl or in the bowl of a food processor, blend together the flour, butter, sugar, and baking powder until the butter is broken into pieces no larger than a small pea. In another bowl, whisk together the milk, egg yolk, and vanilla. Add the wet to the dry and blend until a damp dough forms. Form the dough into a rough rectangle, wrap in plastic wrap or a zip-top bag, and chill in the refrigerator for at least one hour.
Set the oven to 350 degrees and line a baking sheet with parchment paper.
Remove the dough from the refrigerator and place onto a piece of parchment or wax paper. Top with another piece of parchment paper. Gently roll out the dough into a long rectangle – about 12 inches long, 4 or 5 inches wide, and 1/4-inch thick – trimming the edges to make a clean line. Remove the top piece of parchment and discard. Spoon the chilled cranberry filling in a thin, vertical line down the middle of the rectangle. Using the bottom piece of parchment, roll one side of the dough over the filling in the middle followed by the second side. This will resemble a flat, tri-fold brochure and seal in the cranberry filling. Gently pinch the seams of the dough to close.
Using a sharp knife cut the dough log into 12 or so even pieces and place on a lined baking sheet seam side down. Bake in the middle of the oven for 20 to 25 minutes – rotating the pan as necessary – until the cookies are set and just barely begin to brown on top. Let cool to room temperature before serving.