Preheat oven to 400°F. Whisk together flour, sugar, baking powder, baking soda, and salt in a large bowl.
Grate the frozen butter using a cheese grater. Blend in with the flour mixture using a pastry cutter or two knives. It should look like coarse crumbs.
Crack the egg into a measuring cup before adding enough buttermilk to make it ¾ cup total. It should be about ½ cup buttermilk but depends on the size of the egg. Whisk in the vanilla extract.
Add the buttermilk mixture and mix into the flour mixture until JUST incorporated. DO NOT over mix, this will make the scones too dense.
Add a small amount of flour to a clean surface and knead the dough briefly before shaping into a circle that is one inch thick. Use a 2 ½ inch cutter to cut about 6 circles. Re-roll the scraps and cut out another 1-2 if possible.
Place on a parchment-lined baking sheet. Make an indention with your thumb or back of a tablespoon in the center of each scone. Add about 1 tablespoon of jam to the center.
Brush with some egg wash and sprinkle coarse sugar on top. Place in the freezer for 15 minutes.
Bake for 18-20 minutes or until the tops are golden brown. Remove and let cool on a wire rack.
Notes
Use frozen butter. The frozen butter coats the flour which creates crumbs that melt and steam, thus creating that flakiness you expect in scones.
Do not overwork the dough. Mix everything until just combined or you will have tough scones.
Flour a tablespoon and use it instead of your thumb to make a consistent indention.
Freeze the scones for 15 minutes to relax the gluten and get the butter cold again.
Leftover scones will keep at room temperature for 2 days or in the fridge for 5 days.