In a stand mixer, cream together the butter, shortening, erythritol, xylitol, and stevia until light and fluffy; about 2 minutes.
Add the egg and blend until fully incorporated. Add the vanilla and lemon zest; blend to combine.
To a small bowl add the almond flour, pecan flour, coconut flour, baking soda, salt, and spices; whisk to combine.
Add the flour mixture to the creamed butter and eggs. Beat until incorporated; about 30 seconds.
Wrap the dough in plastic wrap and refrigerate for 30 minutes. Roll out between parchment or wax paper to about ¼-inch thickness and use cookie cutters that are about 2-3 inches in diameter of your choice. Cut out the center with a smaller cookie cutter and add scraps to the dough to be rolled out or leave and bake as smaller cookies. While cookies are chilling, put the candies into a plastic bag and use a rolling pin to crush them. If using different colors/flavors of candy do each separately. You will need about ⅓ of a piece of candy to fill the cutouts of each cookie.
Preheat oven to 350°F. Line a sheet pan with parchment paper or use a silicon mat. Place cutout cookies about 1 inch apart and bake for 5 minutes, remove from oven and add crushed candy to cutout centers, put back in the oven and cook another 5-8 minutes until the candy has melted and the cookies are just beginning to brown on the edges. When done allow them to sit on the cookie sheet for 5-10 minutes to allow the candy to harden then transfer to a wire rack to cool completely. Store in an airtight container in the refrigerator. Makes about forty-four 2-inch cookies. 1 cookie is one serving.