Heat oven to 350 degrees. Line a 9-inch square pan with parchment paper, leaving a 2-inch overhang on two sides. In a food processor, combine vanilla wafers and sugar, and pulse until you have fine crumbs. Add butter and process until evenly moistened. Transfer mixture to prepared pan and press it down into an even layer. Bake until fragrant and a shade darker, 15 to 17 minutes.
Meanwhile, prepare the filling: In a medium bowl, whisk together condensed milk, egg yolks, lime juice and lime zest.
Pour filling over crust (it’s O.K. if it’s still warm) and bake until the filling is set, about 15 minutes. Transfer to a rack to cool completely, then cover and refrigerate for at least 4 hours.
Use a sharp knife to release edges. Using the parchment overhang, carefully lift and transfer the bar to a cutting board. Just before serving, whip heavy cream and confectioners’ sugar until soft peaks form. Top bars with whipped cream and cut into 16 squares to serve.