Nothing, they are basically the same thing. In Mexico, these sweet treats are called polvorones (pole-vor-OWN-ays) or pan de polvo (pahn day POLE-voh).  Pan means "bread," and polvo means "powder," which refers to the powdered sugar coating.  In the United States, they are called Mexican wedding cookies, Russian tea cakes, or snowballs.  Unlike the US version, traditional Mexican polvorones are made with lard and coated with granulated sugar.