In a bowl, cream the butter, sugar and brown sugar with an electric mixer. Add the egg yolk and beat until smooth. At low speed, add the flour alternately with the milk and vanilla. The dough will be rather dry but still hold together. Add milk, as needed.
For each cookie, shape 1 tbsp of dough into the shape of a finger. Press a jelly bean at the end of the dough as a nail and a candied peanut at the other end of the finger as a bloody bulging bone. Place on a baking sheet. Carve the fingers with the tip of a butter knife to imitate the folds of the joints. Refrigerate for 30 minutes.
With the rack in the middle position, preheat the oven to 375°F (190°C).
Bake for 10 to 12 minutes or until the underside of the fingers are golden brown. Let cool.