Preheat oven to 350°F. Line a baking sheet with parchment paper.
Mix sugar substitute, egg, and vanilla with an electric mixer set on low for 3 minutes. Add peanut butter and baking soda. Mix on medium until dough comes together, about 30 seconds.
Form dough into 24 (2-teaspoon) balls and place on baking sheet 1 inch apart. Gently press your thumb into the center of each to make an indentation. Fill each indentation with 1/2 teaspoon jam.
Bake until lightly browned on the bottom, 12 to 14 minutes. Transfer to a wire rack to cool completely.