Position a rack in the lower third of the oven and preheat to 400 degrees . Line a baking sheet with parchment paper. Using an electric mixer, beat together the cream cheese and marzipan at high speed for 1 minute. Beat in 1/4 cup confectioners sugar. Beat in the egg yolk, vanilla and salt.
Place the puff pastry on a lightly floured surface and roll out to form a 10-inch square; cut into 4 equal squares and place on the prepared baking sheet. Dollop the cream cheese mixture evenly in the center of each square; top with 1 teaspoon jam. In a small bowl, beat the egg white with a fork, then lightly brush some of it onto the pastry. Lift 2 opposite corners of each pastry and cross over the center, overlapping slightly; pinch to seal. Brush the tops with more egg white and sprinkle with the almonds. Bake until golden, about 20 minutes. Let cool completely.
In a small bowl, stir the remaining 1/4 cup confectioners' sugar and the heavy cream with a fork until smooth; drizzle over the cooled pastries.