Combine shortening and sugar in a large bowl; beat until creamy. Stir in salt, scalded milk, egg yolks, and lemon extract. Let cool until lukewarm.

Stir yeast into the lukewarm milk mixture; let stand until slightly foamy, about 5 minutes.

Add flour and mix until a soft dough forms. Add additional flour, 1 tablespoon at a time, if needed, until dough begins to pull away from the sides of the bowl. Dough will remain soft and slightly sticky. Cover and let rise in a warm place until doubled in size, about 1 hour.

Divide dough into 36 portions and roll into smooth balls. Place on the prepared baking sheets about 2 inches apart. Let rise for 15 minutes.

Press a deep indentation into the center of each dough ball and fill with fruit preserves. Chill for 15 minutes to help the kolaches hold their shape during baking.

Meanwhile, preheat the oven to 450 degrees F (230 degrees C).

Bake in the preheated oven until golden brown, 12 to 15 minutes.

Cool on baking sheets for 5 minutes, then transfer to wire racks to cool completely.