Heat the oven to 180C/fan 160C/gas 4 and line 2 baking sheets with non-stick baking parchment. In a food processor whizz together the butter, icing sugar and lemon rind until combined. Add the flour, cornflour and 3 tbsp water and whizz until combined.
Put the mixture into a disposable piping bag fitted with a large star nozzle. Pipe a rectangle using a zigzag pattern to form the shape. Repeat to make 20 biscuits, spaced apart. Bake in the oven for 15 minutes until light golden. Leave to cool and then transfer to a wire rack until cold.
Meanwhile make the filling. Put the egg white and a pinch of cream of tartar in a heatproof bowl. Whisk into soft peaks. Gradually whisk in the sugar until a glossy meringue and the sugar has dissolved.
Put the bowl over a pan of simmering water and add the marshmallows. Whisk continuously, for about 5 minutes until the marshmallows have nearly melted. Remove from the heat and continue to whisk for 5 minutes until the marshmallows have melted and the mixture thickens sufficiently. Cool for 15 minutes, stirring occasionally until the mixture stands in soft peaks. If you like you can colour half the mix using colouring.
Either spread or pipe the filling onto 10 biscuits. Sandwich each with another biscuit and leave to set.