Rainbow cookies or Italian flag cookies are pieces of tricolored marzipan cake. Its inner layers are separated by raspberry jam, and its outer layers are covered with chocolate. The three colors are usually red, yellow, and green, the colors of the flag of Italy, where the pastry was first made. Rainbow cookies or Italian flag cookies are pieces of tricolored marzipan cake. The cake's inner layers are separated by raspberry jam, and its outer layers are covered with chocolate. The three colors are usually red, yellow, and green, which may have been inspired by the colors of the flag of Italy, where the pastry was first made. While readily available in the New York metropolitan area, these cookies can be very hard to find in other parts of the country.