Heat oven to 350°F and line 2 baking sheets with silicone liners or parchment paper.
Combine flour, baking powder, and salt in a small bowl and set aside. Combine cheese and butter in a stand mixer fitted with paddle attachment. Beat on medium speed until thoroughly combined and fluffy.
Add sugar and beat until incorporated. Add whole egg and beat until
combined. Reduce speed to low and add dry ingredients in 3 parts, beating until just incorporated.
Transfer dough to a lightly floured work surface and roll into 1-inch balls.
Whisk egg whites in a small bowl and toss walnuts and black pepper together in a medium bowl. Dip dough balls first in egg white and then in walnuts to coat.
Place coated cookies on prepared baking sheets, flatten gently, and make a divot with your finger in the center of each round. Bake for 18 to 21 minutes, rotating baking sheets halfway through, until cookies are golden and walnuts are toasty brown. Remove from heat and cool on baking sheets.
While cookies are baking, warm jam in a small saucepan over low heat. Bring to a boil, stirring occasionally. Remove from heat.
Once cookies have cooled for at least 10 minutes, use a small spoon to fill each divot with about ½ teaspoon jam. Set cookies aside until jam is set (about 1 hour).