In a medium sized bowl, whisk together the oil, soy milk, yeast, vinegar, vanilla extract, zest and salt to avoid any lumps.
Using a spoon, slowly start incorporating the flour until a cohesive ball is formed. Then, continue kneading with your hand until the dough becomes smooth, soft and does not stick to your fingers anymore. You may not need all the flour. Keep it aside for later.
Cover the bowl with plastic foil and place the dough in the refrigerator to chill for one hour.
Preheat the oven to 350°F (180°C).
Remove the dough from the refrigerator and knead it for a few extra minutes over a slightly floured surface.
Using a sharp knife or a pizza cutter, cut the dough in 4. Take a first ball of dough and roll it into a round shape, about 20 cm big. Cut the dough in 4, then 8 and finally 12 to obtain 12 triangles as equal as possible. Place about 1/2 tsp of jam at the top of each triangle and then loosely roll them towards their tip. Place the rolled cookies on a baking tray covered with parchment paper as you go on. Repeat these steps with the remaining 3 balls until all the cookies are ready.
Bake for 20 minutes or until golden brown.
Remove the cookies from the tray and place them on a cooling rack.
Allow them to cool down for a few minutes and then roll them into powdered sugar. Enjoy!