Packerwmn, I did a search on Google and found a couple of recipes for butterhorn cookies. Here is one, called Hungarian butterhorn cookies; has a filling that has nuts in it:

Senator Dick Durbin first obtained this recipe about 40 years ago when he was a paperboy for the now-defunct East St. Louis Journal (the same paper that the late Congressman Melvin Price once wrote for as a sports reporter). One Christmas, a customer gave Durbin a box of these cookies, which proved so popular with the entire family that he went back for the recipe. Durbin’s mother baked them every Christmas.

Ingredients for Cookie Dough
1 package yeast
4 cups general purpose flour, sifted
1-1/4 cups margarine
1/2 teaspoon salt
3 egg yolks (beaten)
1/2 cup sour cream
1 teaspoon vanilla

Ingredients for Filling
3 egg whites
1 cup of ground nuts (must be well ground)
1 teaspoon vanilla
1 cup powdered sugar

Dough: Sift flour with salt, add yeast. Cut in margarine, add beaten egg yolks, sour cream, and vanilla. Stir until just blended. Wrap in wax paper and chill while making filling.

Filling: Beat egg whites until stiff. Gradually fold in sugar, nuts and vanilla.

Brush pastry board or cloth with powdered sugar. Divide dough into 8 parts. Keep balance of dough refrigerated while working on each part.

Roll out each portion of dough very thin and round. Cut into 8 wedges. Put one teaspoon of filling on each wedge and roll up from the broad side. Curl and place on buttered baking sheet, tips down. Bake at 350 degrees for 25 minutes. When cool, roll or sprinkle the horns with powdered sugar.

And you sprinkle them with powdered sugar after they’re cooled. Does this sound like what you’re looking for? Hope this helps, cause they sound delicious!