Lay out puff pastry sheets on a lightly floured work surface and allow to thaw for approx. 10 minutes. In the meantime, stir marzipan, cinnamon, egg and egg yolk until smooth. Brush the puff pastry sheets with water, lay them on top of each other and roll out to a rectangle of 20x30 cm.
Spread the puff pastry with the marzipan mixture and roll up from the transverse side. Cut the roll into approx. 1 cm thick slices. Line a baking tray with baking paper and place puff pastry slices on top. Refrigerate the rest.
Bake in the preheated oven (electric oven: 225 ° C/ gas: level 4) for 15-20 minutes until golden brown, remove carefully from the baking tray and let cool on a cake rack. Bake the remaining marzipan snails in the same way.
Results in about 20 pieces.