Sift flour into a bowl with parmesan, salt, pepper, and cayenne.
Grate cold butter into the flour and rub until mixture resembles breadcrumbs.
Mix in the egg yolk to form a firm dough.
Wrap the dough ball in cling film and chill for two hours.
Preheat the oven to 180°C.
Roll dough on a floured surface to a 0.5cm thickness.
Cut into stars using a cutter and place on a lined baking tray.
Bake for 10-12 minutes until golden-brown and leave to cool.
Melt butter in a pan and add red onions, thyme, and red wine.
Cook over low heat for 20-30 minutes until reduced and caramelized.
Blend goats' cheese with milk until it forms a smooth, thick paste.
Pipe cheese onto shortbreads, top with onion marmalade, and serve.