Whisk together flour, polenta, and salt in a medium bowl; set aside. Put butter, sugar, and lemon zest in the bowl of an electric mixer fitted with the paddle attachment; beat on medium-high speed until pale and fluffy, about 2 minutes, scraping down the sides of the bowl as needed.
Add egg and egg yolk, 1 at a time, beating after each addition to combine.
Mix in vanilla.
Gradually add flour mixture, and beat until just combined. Transfer batter to a pastry bag fitted with a 1-inch star tip.
Pipe S shapes about 3 inches long and 1 inch wide, spaced 1 1/2 inches apart on baking sheets lined with parchment.
Bake cookies until edges are golden, 15 to 18 minutes.
Transfer cookies on parchment to wire racks; let cool about 10 minutes.
Remove cookies from parchment, and transfer to racks to cool completely