Preheat oven to 350 degrees. 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, one 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 1/2-inch star tip (such as Ateco No. 826).
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.
Try Polenta Bramata, or any dry, grainy coarse-ground cornmeal or polenta. Regular cornmeal from the supermarket is more finely ground, and will yield cookies with a slightly different texture.
Martha used a pastry bag fitted with a 7/16-inch star tip (such as Ateco #825), and before baking, chilled the sheet of cookies in the freezer for 30 minutes.