In a bowl, cream together the butter and sugar until light and fluffy.
Add the vanilla extract and mix well.
Gradually add the ground walnuts and flour to the mixture, stirring until well combined to form the dough.
In another bowl, mix the ground walnuts, sugar, milk, and cinnamon to make the filling.
Preheat the oven to 350°F (175°C).
Take a small amount of dough and roll it into a ball. Flatten the ball in your palm and place a small amount of the walnut filling in the centre.
Fold the edges of the dough over the filling and roll it into a ball again, making sure the filling is completely covered by the dough.
Place the filled cookies on a baking sheet lined with parchment paper.
Bake for 12-15 minutes, or until the edges are lightly golden.
Allow the cookies to cool on the baking sheet for a few minutes, then transfer them to a wire rack to cool completely.