Place the puff pastry sheets next to each other on a baking tray lined with baking paper and allow to defrost for approx. 10 minutes. In the meantime, cut the marzipan into pieces and stir with sugar, vanillin sugar, hazelnuts, 1/2 tsp. cinnamon, egg and milk until smooth.
The mixture should be spreadable, if necessary add some more milk.
Roll out puff pastry sheets one after the other on a lightly floured work surface (approx. 16 x 20 cm). Spread marzipan mixture on top and roll up from the long side. Cut into approx. 11 slices each and spread on 2 baking trays lined with baking paper.
Bake in the preheated oven (electric cooker: 200 °C/ convection oven: 175 °C/ gas: see manufacturer) for 12-15 minutes, one sheet at a time. Remove, dust with a little cinnamon and serve.